Exercise is thought to increase the secretion of endorphins, naturally produced substances in the brain that induce feelings of peacefulness. Many studies show that exercise, along with the boosted endorphin levels, really does increase confidence and self-esteem and reduce tension. Exercise also acts as a displacement defense mechanism for those who are "stressed out." What does that mean? If you've ever walked for several miles, you know how hard it is to think of your problems when your mind is focused on walking.