Speaking for myself here... my anxiety was off the hook and through the roof. I was able to get out and walk a bit w/o anxiety meds but not enough to have a significant effect. Also I should point out that in my case physical activity has a cumulative effect. I didn't feel much from it in the beginning. A week or two should so good results. Part of that is the activity itself releasing endorphins or other good chemicals and part of it is just the positive effect of forcing yourself to do something you really don't want to do.
Oh and yes, as sandworm and (I think it was) skeezyks mentioned, walking and biking are great. Strength or resistance training didn't do much for me, tho calisthenics type activities did... but nothing beats a good walk or long bike ride.