If you start doing exercises all of a sudden with no proper guidance then there is a possibility that you may get physically stressed. But exercise definitely doesn't give you mental stress. In fact it relieves one. Exercise helps relax your tensed muscles and it can help muscles to use the pent up energy. It gives you a feeling of happiness because exercise releases endorphins into the body to give a natural boost. In the form of workout you can release or vent out all the frustration anger and negativity from your body and feel stress free. Plus it is also one of the ways to divert your attention from all the problems at least for some time, leave you relaxed and give you time to react or make a change in the situation. It can provide you with social support too. You can make friends while your workout in the jym and feel free to take with them about your problems at times. It certainly improves your health and minimizes your risk factors of illness and diseases entering in the body. Fit people are more likely to handle the effects of stress on health and burnout.