I've found out that running outside just for 10 minutes with quite high intensity is really effective for anxiety / depression with instant effect. Also, specifically lactic acid producing exercises, such as doing free squats quickly works too. It might have something to do with how the brain uses lactic acid for some functions, but this is just my guess.

Found out that there's some research on this: https://www.biotechniques.com/biochemistry/exercise-lactate-...