Does Exercise Reduce the Risk of Covid? Exercise has many proven health benefits. It strengthens the heart and lungs, increases strength and endurance, helps control weight, keeps joints flexible, reduces stress, and improves sleep patterns. Exercise also alleviates depression and anxiety, reduces pain, enhances self-esteem and body image, makes one feel more energetic throughout the day (leading to more productive days), and strengthens your immune system. Your immune system is crucial in helping you prevent Covid.