Chronic stress induces anxiety disorders, whereas physical exercise is believed to help people with clinical anxiety. In the present study, we investigated the mechanisms underlying stress-induced anxiety and its counteraction by exercise using an established animal model of anxiety. Mice treated with restraint for 2 h daily for 14 days exhibited anxiety-like behaviors, including social and nonsocial behavioral symptoms, and these behavioral impairments lasted for more than 12 weeks after the stress treatment was removed. Despite these lasting behavioral changes, wheel-running exercise treatment for 1 h daily from post-stress days 1 - 21 counteracted anxiety-like behaviors, and these anxiolytic effects of exercise persisted for more than 2 months, suggesting that anxiolytic effects of exercise stably induced. Repeated restraint treatment up-regulated the expression of the neuropeptide, melanin-concentrating hormone (MCH), in the lateral hypothalamus, hippocampus, and basolateral amygdala, the brain regions important for emotional behaviors. In an in vitro study, treatment of HT22 hippocampal cells with glucocorticoid increased MCH expression, suggesting that MCH upregulation can be initially triggered by the stress hormone, corticosterone. In contrast, post-stress treatment with wheel-running exercise reduced the stress-induced increase in MCH expression to control levels in the lateral hypothalamus, hippocampus and basolateral amygdala. Administration of an MCH receptor antagonist (SNAP94847) to stress-treated mice was therapeutic against stress-induced anxiety-like behaviors. These results suggest that repeated stress produces long-lasting anxiety-like behaviors and upregulates MCH in the brain, while exercise counteracts stress-induced MCH expression and persisting anxiety-like behaviors.