Objective To observe the effects of 4 weeks of voluntary wheel running on depressive-like behavior in a rat chronic stress-induced depression model to explore the anti-depressive mechanism of exercise. Methods In this observational study, 36 Sprague-Dawley rats were randomly divided into control, stress model, and stress exercise groups (12 rats/group). The control group received no intervention, and the stress model and stress exercise group rats underwent chronic mild unpredictable stress and isolation. The stress exercise group rats also underwent 4 weeks of voluntary wheel running. Behavioral changes and hippocampal protein and mRNA expression levels were detected. Results Voluntary wheel running significantly increased horizontal and vertical movements, sucrose intake, and the sucrose preference percentage and reduced immobility time in the forced swimming test in depression model rats. The hippocampal tumor necrosis factor-α, interleukin (IL)-6, IL-1β, and quinolinic acid levels were significantly decreased, while the IL-4, IL-10, and kynurenic acid levels were significantly increased. Kynurenine-3-monooxygenase and 3-hydroxyanthranilate-3, 4-dioxygenase mRNA levels were downregulated, and kynurenine aminotransferase mRNA was upregulated. Conclusion Voluntary wheel running improved depressive-like behavior in depression model rats. The mechanism may be related to a kynurenine pathway metabolite level imbalance, which has neurotoxic and neuroprotective effects, caused by long-term voluntary wheel running.