The‘ exercise causes weight loss’ myth 100 most effective weight-loss maneuver of all! This is the first whammy. Second, exercise has been well proven as an effective treatment of moderate degrees of depression, anxiety and stress. For the many people who‘ treat’ these conditions with food, exercise is an exceptionally clever alternative. You have to really work at it to stay stressed after a good workout. The second double whammy is that not only does the exercise make people feel better, for some people it is the perfect antidote for stress-driven‘ comfort eating’ in the evening.