Background. The purpose of present study was to assess the impact of maternal treadmill exercise during pregnancy on inflammation, oxidative stress, expression of Bax and Bcl-2 genes, and brain-derived neurotrophic factor (BDNF) level in neonatal rat brain after the hypoxia-ischemia injury. Material and Methods. A total of 24 female Wistar rats were utilized in this research. Two groups are randomly considered for rats: (1) not exercised through pregnancy and (2) exercised during pregnancy. Offsprings were divided into four groups including after delivery: (1) sham, (2) sham/exercise (sham/EX), (3) HI, and (4) HI+exercise. HI was induced in pups at postnatal day 8. Neurobehavioral tests were done seven days after HI induction. Then, the brain tissue was taken from the skull to estimate Bcl-2 and Bax gene expressions, BDNF, cerebral edema, infarct volume, inflammatory factors, oxidative stress, and neurological function. Results. The BDNF level in the HI+exercise group was considerably higher than the HI, sham, and sham/EX groups. Tumor necrosis factor (TNF-α), C-reactive protein (CRP), and the whole oxidant capacity (TOC) levels in the HI group were significantly higher than the sham and sham/EX groups. TNF-α, CRP, and TOC levels in the HI+exercise group were significantly lower than the HI group. Total antioxidant capacity (TAC) level in the HI+exercise group was significantly higher than the HI group. Infarct volume and edema percent in the HI+exercise group were significantly lower than the HI group. Neurological function in the HI+exercise group was significantly better than the HI group. Bax expression in the HI+exercise group was significantly lower than the HI group. Bcl-2 expression in the HI+exercise group was significantly higher than the HI group. In the sham group, BDNF, TNF-α, CRP, TAC, TOC, edema levels, and neurological function had no significant difference with the sham/EX group. Conclusion. It appears that the maternal treadmill exercise during pregnancy exerts a supportive impact against neonatal HI brain injury through increasing antioxidant capacity, Bcl-2 expression, and BDNF levels and decreasing inflammation that is resulted in the lower infarct volume and sensorimotor dysfunction.