2. Can be a mental exercise to help promote mental health and well-being. Moderate to vigorous exercise releases a protein in the brain called BDNF, which is known to have numerous benefits in the brain. Some include: increased learning and memory, assists with new skill acquisition, may increase production of serotonin, and improved mood. Also, by being submerged in water, the body is gaining positive sensory input which can help lead to positive behavior changes.