This evidence comes from a review of exercise for post-partum depression from 12 studies.1 It was found that exercise interventions during and after pregnancy had a large effect size which translated to 41% of participants improving (numbers needed to treat of 2.5).
The types of exercise ranged from stretching and breathing exercises, a walking programme, cardiovascular exercises, mixed cardiovascular and strength exercises, Pilates, yoga, and home-based programmes.
Session frequency varied from 1 to 5 days per week and intensity levels included low, moderate, or moderate to high. Physical activity interventions were individualized in three studies. Kelly McGonigal from Stanford suggests that for stress in general, exercise done with others gets an additional benefit from the social connection.2