This paper was aimed to clarify the effect of high-intensity interval training (HIIT) on depression. Animal running platforms were used to establish HIIT exercise models, depression models were prepared by chronic unpredictable mild stress (CUMS), and depression-related behaviors were detected by behavioral experiments. The results showed that HIIT exercise improved depression-related behavior in CUMS model mice. Western blot and ELISA results showed that in the hippocampus, medial prefrontal cortex (mPFC) and amygdala of the CUMS model mice, glucocorticoid receptor (GR) protein expression was down-regulated, and the content of tumor necrosis factor α (TNF-α) was increased, compared with those in the control group, whereas HIIT exercise could effectively reverse these changes in CUMS model mice. These results suggest that HIIT exercise can exert antidepressant effect, which brings new ideas and means for the clinical treatment of depressive diseases.