I don't feel silly when just jogging/walking/riding my bike...all of which I do regularly for anxiety management...and I try to laugh as much as possible...
...but I try not to do them at the same time...then I
would feel silly and probably look 'kukoo' as I am running up the road in a fit of giggles!
You are right though, exercise and laughter do alter the neurotranmitters in the brain, causing a euphoric state, and reducing anxiety.
S.C.