This study was designed to investigate the changes that occur in adrenal cortex in an animal model of depression and the effect of voluntary exercise on these changes. Thirty-two adults male Wistar rats were included based on their forced swimming test behavior. The rats were divided into 4 groups. Group 1 was the control group, group II was the control exercise group, group III was the depression group, and group IV was the depression exercise group. The forced swimming protocol was used to induce depression, while the rat voluntary wheel was used for voluntary exercise. After scarification, estimation of corticosterone level was conducted, and samples of adrenal gland were examined for structural changes by light and Electron microscope, and for immunohistochemical expression. Rats from group III showed statistically increased corticosterone level and increased cortical thickness compared to other groups. Voluntary exercise improved these measures in rats of group IV. Histological disorganization of cortical cells was observed in group III with manifest large cytoplasmic vacuoles. Enormous increase in the number of both apoptotic and proliferative cells was seen with significantly higher mean number of the proliferative cells. By EM, the nuclei were shrunken, secretory vesicles were depleted, and the smooth endoplasmic reticulum showed massive dilatation. These findings were partially restored in rats of group IV. This study concluded that voluntary exercise enhanced recovery from the injurious effect of depression on adrenal cortical cells that partially showed regain of their normal structure and corticosterone secretion.