Doing sports and exercise indirectly improves your self-confidence because being physical active has a wide range of advantages: It keeps you both mental and physical fit; it improves your blood flow; it is energising and de-stressing at the same time; it improves your general fitness level no matter how good you are at it; it helps you to understand yourself and your body; it helps you develop professional skills; it improves your breathing, endurance and strength; It builds lean muscles that will give you a better posture.
Common mental training for athletes is imagery; they visualise themselves performing and that will help them reaching their goals and feel more self-confident. Sports are a great way to set realistic goals and reaching them. By reaching physical goals you will get the feeling of achievement and you will prove to yourself that you have the skills and ability to perform. That will help to improve your self-confidence in your everyday or professional life.
In my last post I explained how adrenaline is produced from fear; you can also produce adrenaline and endorphins by exercising. A typical side effect from doing physical exercise is that you will become more energetic and happy. Your general mood will be better and you will tend to be more positive and keep a good sense of perspective. If I feel down I do not want to exercise but I will do it anyway, because I know it will make me feel better.
The reason for the feeling of happiness is that the brain produces endorphins that have an effect like morphine. The endorphins will reduce pain and generate happiness.
When you feel down or depressed you also feel unable to perform; you would tend to feel inadequate and feel lack of self-confidence. But by doing exercise you will be able to perform in way that makes you happy. Being happy makes you see things from the bright site and that will improve self-confidence.