Reports of beneficial effects of exercise on psychological health in humans are increasingly supported by basic research studies. Exercise is hypothesized to regulate antidepressant-related mechanisms and we therefore characterized the effects of chronic exercise in mouse behavioral paradigms relevant to antidepressant actions. Mice given free access to running wheels showed antidepressant-like behavior in learned helplessness, forced-swim (FST) and tail suspension paradigms. These responses were similar to responses of antidepressant drug-treated animals. When tested under conditions where locomotor activity was not altered, exercising mice also showed reduced anxiety compared to sedentary control mice. In situ hybridization analysis showed that BDNF mRNA was increased in specific subfields of hippocampus after wheel running. We chose one paradigm, the FST, in which to investigate a functional role for brain-derived neurotrophic factor (BDNF) in the behavioral response to exercise. We tested mice heterozygous for a deletion of the BDNF gene in the FST after wheel-running. Exercising wild-type mice showed the expected antidepressant-like behavioral response in the FST but exercise was ineffective in improving FST performance in heterozygous BDNF knockout mice. A possible functional contribution of a BDNF signaling pathway to FST performance in exercising mice was investigated using the specific MEK inhibitor PD184161 to block the MAPK signaling pathway. Subchronic administration of PD184161 to exercising mice blocked the antidepressant-like behavioral response seen in vehicle-treated exercising mice in the FST. In summary, chronic wheel-running exercise in mice results in antidepressant-like behavioral changes that may involve a BDNF related mechanism similar to that hypothesized for antidepressant drug treatment.