Here's an unscientific observation. My wife lived in Madison, Wisconsin for a period of time, but was not necessarily that happy. That lone fact has not stopped the city from just being named one of the happiest cities in the entire world.
I'm not trying to be a cynic, but I must admit that I was somewhat surprised by this. Illinois has just been named one of the happiest states in America. It's apparently all sunshine and roses in the Land of Lincoln - allegedly.
Exercise improves your physicality, yes. But also lowers anxiety and boosts your "feel good" hormones, too! We need that--especially during quarantine.