This wouldn’t surprise me. One way to treat depression and anxiety is to engage in behavioural activation—taking part in activities that once brought you joy or fulfillment, despite the fact that you don’t really feel like it at the moment. Doing so can bring a sense of satisfaction and self-efficacy afterwards.

If these folks believe they’ve become more physically active, perhaps they feel the self-efficacy etc. that comes along with that. Just a thought—I’ll read the article more carefully later to see what the authors might say about it in their discussion section.