Background: Physical exercise has been shown to improve cognitive and motor functions, promoting neurogenesis and demonstrating therapeutic benefits in neurodegenerative disorders. Nonetheless, it is crucial to investigate the cellular and molecular mechanisms by which this occurs. The study aimed to investigate and evaluate the effect of swimming exercise on the changes of mitochondrial proteins in the brains of rats with hypoxic ischemic encephalopathy (HIE). Methods: the vertical pole and Morris water maze tests were used to assess the animals’ motor and cognitive functions, and western blot and immunofluorescence of brain tissue were used to assess the biomarkers of mitochondrial apoptosis and cristae stability in response to exercise training. Four groups of rats were used: (1) sham sedentary group (SHAM, NT), (2) sham exercise training group (SHAM, T) (3) hypoxic ischemic encephalopathy sedentary group (HIE, NT), and (4) hypoxic ischemic encephalopathy exercise training group (HIE, T). Results: animals with HIE showed motor and cognitive deficits, as well as increased apoptotic protein expression. Exercise, on the other hand, improved motor and cognitive functions while also suppressing the expression of apoptotic proteins. Conclusions: By stabilizing the mitochondrial cristae and suppressing the apoptotic cascade, physical exercise provided neuroprotection in hypoxic ischemia-induced brain injury.