I don't think it's easy for any of us, unfortunately
I wish it were though, because anxiety and depression are so hard to deal with!
What might work for one might not work for another, but definitely be open to trying new things. For me, I absolutely notice a difference with exercise, but I tend to have to vigorous workouts to really help with my anxiety, such as running and lifting weights. If I go for walks, my mind drifts off with anxious thoughts too much! I do notice that if I go walk somewhere nice with good scenery, I can relax a bit more.
In addition to my workouts, I try to read and set aside a few minutes here and there doing things I enjoy that let my mind rest. I really don't have a lot of spare time, so sometimes even a good shower relaxes me. FOr the reading, often times it's magazines since I can just read a quick article, or read funny things online. Music is great too!
I think all of these things DO help with stress and anxiety, which in turn can help with bad dreams. I think when a lot of anxiety is in the back of our mind, we start dreaming bad things too. I have had plenty of bad dreams, but one in particular stands out the most. It was awful and I actually woke up paralyzed for a few minutes and felt like I could not breathe and that my body was almost floating. Very scary! Luckily that has not happened again.
I used to take Prozac, but I think this dream happened before I started. I didn't really notice a huge difference in my dreams when I took Prozac. I don't take it anymore b/c I found that my tiredness was getting worse and worse! It was a bummer because I really did think it was helping me at first. Some people DO feel worse at first, so I'd suggest giving it a few weeks before changing. I also had Xanax to take as needed when I was feeling more anxious. I got a low dose since it can be addictive.
I hope your bad dreams don't last!!