Weight-bearing exercise is the only way to gain muscles. You may know a lot of body builders use steroids, but if they can gain muscle w/o weight training then probably nobody would. Instead they still spend hours in the gym everyday. The use of steroid simply make them grow bigger than w/o the drug, but all muscles need stimulation to grow.
Exercise is also beneficial to your mind/mood, your immune system, and overall health, as long as you don't go overboard like many pro athletes do.