Oh, for me it does. I feel an enormous mood lift from a bit of exercise, especially if it takes place outside on a sunny day, and it kicks in pretty quickly. I agree walking may be not quite intense enough to get much of an effect (though I think it does a bit, for me), but I cycle to and from work (not fast or anything; it's a short distance, though a tiny bit hilly, and I'm a very casual cyclist) and that does give me a little boost most days, and some mental space between work and whatever's next. Of course, it sucks in horrible weather.