There is good evidence that exercise improves symptoms in people suffering from anxiety and depression. There isn't enough evidence available yet to make the case for exercise improving mood more generally.
Source - The Influence of Exercise on Mental Health
The research literature suggests that for many variables there is now ample evidence that a definite relationship exists between exercise and improved mental health. This is particularly evident in the case of a reduction of anxiety and depression. For these topics, there is now considerable evidence derived from over hundreds of studies with thousands of subjects to support the claim that “exercise is related to a relief in symptoms of depression and anxiety.” Obviously, more research is needed to determine if this overall relationship is “causal,” and there is also a need to examine further some of the variables that are believed to moderate the overall relationship.
For many of the other variables related to mental health, the initial meta-analyses have shown evidence that is promising. Compared to the area of depression and anxiety, however, there is either a need for more research on these topics or more quantitative reviews of the expansive research that already exists. For example, the relatively new research into the influence of exercise on positive mood states is in need of more research studies, whereas the area of exercise and self-esteem needs quantitative reviews of the expansive research literature that already exists.
I also had a look through The Cochrane Library and found the following articles:
Exercise for depression
We found exercise did seem to improve the symptoms of depression, but we cannot be sure exactly how effective it is, or the most effective type of exercise. The evidence suggests that exercise probably needs to be continued in the longer-term for benefits on mood to be maintained.
Exercise for preventing and treating anxiety and depression in children and young people
Exercise is promoted as an active strategy to prevent and treat depression and anxiety. We found that the research data are sparse and mostly done on college students. Six small trials indicate that exercise decreases reported anxiety scores in healthy children when compared to no intervention. Five small trials indicate that exercise decreases reported depression scores when compared to no intervention.
Exercise to improve self-esteem in children and young people
This review of trials suggests that exercise has positive short-term effects on self-esteem in children and young people, and concludes that exercise may be an important measure in improving children's self-esteem. However, the reviewers note that the trials included in the review were small-scale, and recognise the need for further well-designed research in this area.