Yes! Running (and exercise and movement in general) is a terrific antidote to stress, anxiety, and depression. Running can help get you out of the "funk" you are in and lift your spirits in a number of ways.
First, running's effects on mood and the brain can be explained from a physiological perspective. Running stimulates the brain's production of serotonin, a chemical that releases the endorphin hormone. Serotonin and endorphins work together to help keep you happy and feel less stressed. Depression and anxiety can occur when serotonin levels are imbalanced, but running can help balance these levels out. Running also makes you stronger, and can help tone muscles, get your body leaner, and helps with weight loss. These kinds of physical changes can really help increase your self esteem and self love. Even just the knowledge that you know your body can run a certain number of miles consistently without stopping, or that your legs are strong and fast enough to run a 5k in a certain amount of time, can be the confidence booster your mental health needs.
Running is also often done outside. Whether you are running the familiar roads of your neighborhood, exploring a new city, getting some fresh air while running the hills and back roads of a countryside, or traipsing through the woods and nature via a running trail, being outside can do wonders for one's mood. Experiences like this that you get you out of a car or off the couch and outside, adventuring through new (and old!) places has been proven to help improve your mood. It helps give you a new perspective on the environment surrounding you, as well as a new level of appreciation for nature and all the beauty it holds.
Finally, running can be just as much of a social activity as going to the bar or to a party! The running community is vast and large, and oftentimes, runners make some of their best life long friends through running. Some even meet their spouses and significant others! Meeting new people and making new friends can do wonders for your mental health. Sometimes, all we need in order to feel better about our lives is knowing that we have others who love us and care about us. Running can connect you to these people, and serve as a social outlet.