Physical exercise is known to reduce anxiety. The ventral hippocampus has been linked to anxiety regulation but the effects of running on this subregion of the hippocampus have been incompletely explored. Here, we investigated the effects of cold water stress on the hippocampus of sedentary and runner mice and found that while stress increases expression of the protein products of the immediate early genes c-fos and arc in new and mature granule neurons in sedentary mice, it has no such effect in runners. We further showed that running enhances local inhibitory mechanisms in the hippocampus, including increases in stress-induced activation of hippocampal interneurons, expression of vesicular GABA transporter (vGAT), and extracellular GABA release during cold water swim stress. Finally, blocking GABAA receptors in the ventral hippocampus, but not the dorsal hippocampus, with the antagonist bicuculline, reverses the anxiolytic effect of running. Together, these results suggest that running improves anxiety regulation by engaging local inhibitory mechanisms in the ventral hippocampus.