I personally think it's purpose within the exercise, rather than the exercise itself.
Heavy exercise exausts me, so I do light stuff, like brisk hour-long walks. If I'm in a slump, depressed, then any kind of exercise is numbing, but not necessarily helpful. But if I'm walking, thinking about hanging out with a friend later, or cooking, or overall ambitious about anything, it feels nice. Some may have goals directly related to the exercise, such as losing weight or gaining muscles. I definitely lost a good amount of weight which boosted my mood and self-image.
If you don't have anything to look forward to, combining exercise with self care is the best way to go, even if it means taking a long bath afterwards, or buying something nice.