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Both preclinical and clinical studies have pointed that aerobic exercise, at moderate doses, is beneficial at all stages of life by promoting a range of physiological and neuroplastic adaptations that reduce the anxiety response. Previous research about this topic have repeatedly described how the regular practice of aerobic exercise induces a positive regulation of neuroplasticity and neurogenesis-related genes, as well as a better control of the HPA axis function. However, limited progress has been carried out in the integration of neuroendocrine and neuroplastic changes, as well as in introducing new factors to understand how aerobic exercise can promote resilience to future stressful conditions. Resilience is defined as the ability to adapt to stress while maintaining healthy mental and physical performance. Consistent findings point to an important role of FKBP5, the gene expressing FK506-binding protein 51 (FKBP51), as a strong inhibitor of the glucocorticoid receptor (GR), and thus, an important regulator of the stress response. We propose that aerobic exercise could contribute to modulate FKBP5 activity acting as a potential therapeutic approach for mood disorders. In this sense, aerobic exercise is well known for increasing the growth factor BDNF, which by downstream pathways could affect the FKBP5 activity. Therefore, our manuscript has the aim of analyzing how FKBP5 could constitute a promising target of aerobic exercise promoting resilient-related phenotypes.