I noticed the character getting bored (which leads to depression if stacked for too long) when exercising, like the game counts this activity as idling - so i opened this suggestion.
As title says, generally speaking physical exercise does help to soothe these irl -- perhaps even anxiety.
Some individuals may disagree or naturally not like physical activity, or have other side effects from it, in such case this could be represented by one or a series of selectable negative trait(s) in the character creation.
As complete opposite, some people can be fitness lovers so there could also be a positive trait (exercising increase happiness/boredom).
This could be a gradual, overtime effect (requires to exercise for quite some time), that way it won't be always preferred over smoking / drinking and other methods which are otherwise more immediate, but come with their side effects.