Exercise showed the beneficial effects on mental health in depressed sufferers, whereas, its underlying mechanisms remained unresolved. This study utilized the chronic unpredictable stress (CNS) animal model of depression to evaluate the effects of exercise on depressive behaviors and spatial performance in rats. Furthermore, we tested the hypothesis that the capacity of exercise to reverse the harmful effects of CNS was relative to the hypothalamo-pituitary-adrenal (HPA) system and brain-derived neurotrophic factor (BDNF) in the hippocampus. Animal groups were exposed to CNS for 4 weeks with and without access to voluntary wheel running. Stressed rats consumed significantly less of a 1% sucrose solution during CNS and exhibited a significant decrease in open field behavior. On the other hand, they showed impaired spatial performance in Morris water maze test 2 weeks after the end of CNS. Further, CNS significantly decreased hippocampal BDNF mRNA levels. However, voluntary exercise improved or even reversed these harmful behavioral effects in stressed rats. Furthermore, exercise counteracted a decrease in hippocampal BDNF mRNA caused by CNS. In addition, we also found that CMS alone increased circulating corticosterone (CORT) significantly and decreased hippocampal glucocorticoid receptor (GR) mRNA. At the same time, exercise alone increased CORT moderately and did not affect hippocampal GR mRNA levels. While, when both CNS and exercise were combined, exercise reduced the increase of CORT and the decrease of GR caused by CMS. The results demonstrated that: (1) exercise reversed the harmful effects of CNS on mood and spatial performance in rats and (2) the behavioral changes induced by exercise and/or CNS might be associated with hippocampal BDNF levels, and in addition, the HPA system might play different roles in the two different processes.