I went for about 3-4 years about 5-6 days a week in early 20's. My depression and anxiety wasn't in the bad shape it is now, and it definitely helped big time. It's the only time in my life i've ever commited to something for any solid length of time, and it definitely worked for me at that stage. Like others have said, if you have mild depression/anxiety it's probably more likely to work, release of natural endorphens and all that. But it's only one piece of the puzzle, you gotta be eating healthy, thinking well, meditation etc. all that jazz to really make it work..it's pretty much a whole lifestyle change/choice to get the full benefits.
Also it's gonna really hurt at the start, once you push through that first 2 week barrier of going consistently you will get into a nice little routine and it will become like clockwork.