To recover from anxiety, i have tried light/moderate excercise. is it normal to feel more anxious/show more symptoms like 'lightheadedness' at first?

Anxiety: Sure it is. If continues or intensifies please inform your physician.

Absolutely: Exercise often is very helpful for anxiety on multiple levels and the fact that it can cause similar symptoms is actually used as a basis of a type of therapy for anxiety called interoceptive therapy. If you can habituate to symptoms the anxiety loses its power to cause threat or fear.