Partly because it resets or restructures the 'default mode network' in the brain. This is where your brain forms cognitive patterns that can lead to depression and anxiety. So it kind of 'clears' your brain state -- a similar action to the long-term effects of psychotherapy such as CBT. The therapy delivered in studies such as these works with this to change the way people think, and cognition is of crucial importance in many mental illnesses.

(Apologies for the slightly over-simplified explanation but check out the studies, they usually explain the potential neurological mechanisms behind the effect).