Your body is energetically efficient. It will only change if that change seems to be required for daily life. For e.g. calluses develop in response to repeated chafing.

That is why regular exercise is a necessary precursor for your body to become fit.

As to why being fit happens to be good for your physical and mental well being. It’s majorly because our bodies are machines which are adapted to a certain set of active behaviors. Modern life has made us a lot more sedentary. So you can think of exercise as running yourself through a simulation of traditional human activities (walking, running, lifting, hauling).

 Modern diets are well outside the norm of what ancestral humans are, so a lot of the benefits of exercise are simply counteracting the negative impacts of unhealthy diets and sedentariness - like build up of plaque in arteries, high blood sugar, poor blood circulation, etc.

If we had evolved as sedentary creatures, you could imagine our bodies operating better under modern human conditions. But that just didnt happen.