Fitness training is a very personal and individual thing. If you're feeling mentally exhausted after working out, you are definitely doing something wrong. I would recommend working with a qualified physical trainer with actual professional qualifications to get a tailored workout regime (be careful since there are many "personal trainers" who really don't know what they're doing).
Also, consider getting involved with yoga and getting a massage. While working out is great for building muscle and endurance, stress your body too much and it will give away.