Exercise alone provides psychological and physical benefits. However, if you also adopt a strategy that engages your mind while you exercise, you can get a whole host of psychological benefits fairly quickly.
The faculty of imagination is the great spring of human activity, and the principle source of human improvement. As it delights in presenting to the mind scenes and characters more perfect than those which we are acquainted with, it prevents us from ever being completely satisfied without present condition, or with our past attainments, and engages us continually in the pursuit of some untried enjoyment, or of some ideal excellence. Destroy this faculty, and the condition of man will become as stationary as that of the brutes.
Music lives in three tenses at once. Developing what comes before it in the past, it engages us in the present, and inspires our hopes for its future.