No, it's not, not for everyone. Exercise induced anxiety is real for many people.
https://www.sciencedirect.com/science/article/pii/S003331828...
https://www.sciencedirect.com/science/article/pii/S003331828...
I am much less anxious on the days I don't exercise. I still do it nearly every day because I want to stay healthy.
What works for me? Good old SSRIs. They are my silver bullet.