Aerobic exercise is the key for your head, just as it is for your heart. It has a unique capacity to exhilarate and relax, to provide stimulation and calm, to counter depression and dissipate stress. Endurance athletes commonly experience the restorative power of exercise, and this has been verified in clinical trials that have used exercise to treat anxiety and depression.
I take 150mg of Zoloft for anxiety. I've been taking it off and on for the past few years. It's definitely helpful at keeping me calm and has even made me lose wight that I gained from stress eating. I wouldn't say everyone who has anxiety needs medicine, but it is definitely something to consider if you have really bad anxiety.