One of the best ways to combat stress and depression is to make physical fitness a part of your daily routine. Aside from the proven health benefits of exercise, people who exercise regularly are more apt to deal with stressful situations more easily, handle physical work tasks better, and tend to be less susceptible to illness and injuries.There are a number of reasons we have for not exercising. Maybe you are turned off from your prior experience with a fitness routine. Perhaps you became so.