Yes, exercise helps. But being told to just "do some exercise" is actually pretty unhelpful.
I've been through a couple of periods where my general anxiety levels have been pretty high, and in both cases I think exercise helped me get out of them. But I almost resented that it did, because it's so annoying being told that it will all the time. "Just go for a run!" as if it's as easy as that.
I found that a combination of things, including a period of medication, and being lucky enough to find an activity (aerial yoga) that I enjoyed doing for its own sake rather than just as "exercise", worked together to help me get out of the pit.
And when I fell in again, I didn't just go "Oh well, exercise helped last time, let's do that!" Even though I knew from first-hand experience that it was helpful, I still needed a combination of things working together to help me get to the point where it was possible.