There's no question that exercise has an effect on how you react to stress (whether it's physical or mental), because it alters your mood. This mood altering affects your perception of the stress and ultimately allows you to perform better in handling that issues that may arise.
Your body loves things status quo — a resting state where every need is being met and there are no undue demands that might cause problems. When you exercise, you essentially take the body out of its comfort zone, the "homeostasis" resting state. The body responds by doing everything it can to bring things as closely back to normal as possible.