(1) Background: Depression is one of the overwhelming public health problems. Alleviating hippocampus injury may prevent depression development. Herein, we established the chronic unpredictable mild stress (CUMS) model and aimed to investigate whether aerobic exercise (AE) could alleviate CUMS induced depression-like behaviors and hippocampus injury. (2) Methods: Forty-eight healthy male Sprague-Dawley rats (200 ± 20 g) were randomly divided into 4 groups (control, CUMS, CUMS + 7 days AE, CUMS + 14 days AE). Rats with AE treatments were subjected to 45 min treadmill per day. (3) Results: AE intervention significantly improved CUMS-induced depressive behaviors, e.g., running square numbers and immobility time assessed by the open field and forced swimming test, suppressed hippocampal neuron apoptosis, reduced levels of phosphorylation of NMDA receptor and homocysteine in hippocampus, as well as serum glucocorticoids, compared to the CUMS rats. In contrast, AE upregulated phosphorylation of AMPAR receptor and brain-derived neurotrophic factor (BDNF) hippocampus in CUMS depression rats. The 14 day-AE treatment exhibited better performance than 7 day-AE on the improvement of the hippocampal function. (4) Conclusion: AE might be an efficient strategy for prevention of CUMS-induced depression via ameliorating hippocampus functions. Underlying mechanisms may be related with glutamatergic system, the neurotoxic effects of homocysteine, and/or influences in glucocorticoids-BDNF expression interaction.