 A Better Life with Dr. Sanjay Gupta. We've known for years that exercise can help you sleep better, but a new study out of Iceland finds that consistency over time can actually make you less likely to develop insomnia. The study's author said this, exercise has been shown to improve sleep quality and duration by promoting relaxation, reducing stress, enhancing mood. Physical activity helps regulate the body's internal clock and promotes deeper, more restorative sleep.