Animals are therapeutic for any number of reasons. Dogs and cats are brought into hospitals for "pet therapy". My friend's son does therapuetic horseback riding and his physical therapist said it has done so much for his hips (he has cerebral palsy) that he is now ahead of schedule. My husband tells me when he was a child his horse was the only "friend" he had (he is profoundly hard of hearing) and that if he hadn't had that horse he would have suffered from severe depression.
I have heard of the autism connection with dolphins as well.
So, animals can help both both physically and mentally. They are not discriminatory, they love you the way you are, and carry you when need be. I cannot talk enough about the awesome self-esteem that my friend's son has developed through the Northern Virginia Therapuetic Riding Association. While his brothers win trophies at soccer, he is winning ribbons for trail rides. It has allowed him to flourish both mentally and physically. I am sure swimming with dolphins would be a similar experience.