I have found exercise to be a great help for the depression I get along with anxiety. I understand it's very hard to make those first steps, but I just thought to myself there isn't any shame to starting small. So at first I just went for a run for maybe 10 minutes a day. I mean, if people see you, they don't know if you have been runnning 1 minute or 2 hours, so that is how I dealt with my worries about what people thought about me. Over time I've built it up and now I run 6 miles a day and feel much better. I do get anxiety attacks whilst I am running sometimes (the fact my heart is already beating fast and I'm breathing fast probably contributes) but you'e got to get home so I normally carry on or just pause for a moment to try and gather myself together.