I like to think of it like this. Your brain is just another body part and needs exercise to work and function properly.

If you aren't exercising then your brain isn't working properly, and it might in fact be impossible for any amount of therapy/drugs to make you better.

So even if you don't get any direct change in mental state, you should be exercising in order to get it working properly. You are then in a much better position for other treatments to work.