At the age of 16, Heather Troupe received a diagnosis of chronic severe depression and a prescription for an antidepressant. Eight years and 20 pounds later, she was sleeping poorly, felt a lot of anxiety and had lost her therapist because of insurance complications. Looking to “fix herself,” as Troupe, of Knoxville, Tenn., put it, she began using an elliptical machine every day at the gym, hoping to sweat away what was ailing her.

Today, Troupe, 33, has been medication-free for nine years and credits her daily exercise habits with helping her achieve mental health. “Exercise has been...