Exercise can prevent the development of stress-related mood disorders, such as depression and anxiety. The underlying neurobiological mechanisms of this effect, however, remain unknown. Recently, researchers have used animal models to begin to elucidate the potential mechanisms underlying the protective effects of physical activity. Using the behavioral consequences of uncontrollable stress or "learned helplessness" as an animal analog of depression- and anxiety-like behaviors in rats, we are investigating factors that could be important for the antidepressant and anxiolytic properties of exercise (i.e., wheel running). The current review focuses on the following: (1) the effect of exercise on the behavioral consequences of uncontrollable stress and the implications of these effects on the specificity of the "learned helplessness" animal model; (2) the neurocircuitry of learned helplessness and the role of serotonin; and (3) exercise-associated neural adaptations and neural plasticity that may contribute to the stress-resistant brain. Identifying the mechanisms by which exercise prevents learned helplessness could shed light on the complex neurobiology of depression and anxiety and potentially lead to novel strategies for the prevention of stress-related mood disorders.