Exercise is better than counselling and medications for managing depression and should be used as a mainstay approach, new research has found.

The University of South Australia looked at 97 reviews on the benefits of exercise which involved 1039 trials and 128,119 participants and found physical activity was extremely beneficial for improving symptoms of depression, anxiety, and stress.

It was found to be one and a half times more effective than counselling or the leading medications.

The research showed that exercise interventions that were 12 weeks or shorter were most effective at reducing mental health symptoms, highlighting the speed at which physical activity could make a change.

Lead researcher Ben Singh said physical activity must be prioritised to better manage the growing numbers of people with mental health conditions.

"Physical activity is known to help improve mental health. Yet despite the evidence, it has not been widely adopted as a first-choice treatment," Dr Singh said.

"Our review shows that physical activity interventions can significantly reduce symptoms of depression and anxiety in all clinical populations, with some groups showing even greater signs of improvement.

"We also found that all types of physical activity and exercise were beneficial, including aerobic exercise such as walking, resistance training, pilates, and yoga.

The university said poor mental health costs the world economy about $2.5 trillion each year, a cost projected to rise to $6 trillion by 2030.

In Australia, an estimated one in five people aged 16-85 have experienced a mental disorder in the past 12 months.

The university's review has been published in the British Journal of Sports Medicine.