Yes, exercise works in such a way that it helps your body release hormones that makes you relax more and feel much better. My way to cope with my depression-onsets is simple: Go to the gym and work out 3-4 times a week until you break a sweat, and enjoy how satisfied you feel about yourself for actually doing something for yourself!
You get rid of tensions and aches a lot more effective too.
Here's basically how Klonopin works: Klonopin is a benzodiazepine. It works by increasing the activity of a naturally occurring chemical in the brain. (ref. www.drugs.com)
Since it is a benzodiazepin - the withdrawal might be restless sleep, milder anxiety, loss of appetite and headaches. I suggest you to slowly drop the dose if possible, over a longer period of time so that your body gets a chance to adjust to working without it. You can ask your GP how to reduce the dose and how long time you should use for that.
Back to exercise... It takes only one trip to the gym to feel that you did something good for yourself. It took about 2 weeks to notice the tensions went away. Even though it hasn't helped me get rid of anxiety and depression it is a great way to cope and my mood-drops last a lot shorter.
Do tell how it goes,
I can usually eliminate anxiety attacks and a lot of paranoia attacks and some bouts of depression with jogging. It works pretty quickly. I would say if you jog the first day to the point of sweat and fatigue. You will feel results. I dont get any benefit from walking. I think the aerobic value in jogging really helps. If I get the onset of those anxiety/paranoia/depression attacks, I try to hit the road. I'm working my way back up to 3-5 miles. This has worked for me many times in the past. I think that wearing a radio or walkman is beneficial too. It takes your mind off the difficulty of jogging, especially when you begin a new regimen. I just started mine. I have run 3-4 times in the last week. Maybe a quarter mile to start and your body will tell you when you can go further. If you have to walk, walk FAST. Hope this helps.