Although regular physical exercise has multiple positive benefits for the general population, excessive exercise may lead to exercise dependence (EXD), which is harmful to one's physical and mental health. Increasing evidence suggests that stress is a potential risk factor for the onset and development of EXD. However, little is known about the neural substrates of EXD and the underlying neuropsychological mechanism by which stress affects EXD. Herein, we investigate these issues in 86 individuals who exercise regularly by estimating their cortical gray matter volume (GMV) utilizing a voxel-based morphometry method based on structural magnetic resonance imaging. Whole-brain correlation analyses and prediction analyses showed negative relationships between EXD and GMV of the right orbitofrontal cortex (OFC), left subgenual cingulate gyrus (sgCG), and left inferior parietal lobe (IPL). Furthermore, mediation analyses found that the GMV of the right OFC was an important mediator between stress and EXD. Importantly, these results remained significant even when adjusting for sex, age, body mass index, family socioeconomic status, general intelligence and total intracranial volume, as well as depression and anxiety. Collectively, the results of the present study provide crucial evidence of the neuroanatomical basis of EXD and reveal a potential neuropsychological pathway in predicting EXD in which GMV mediates the relationship between stress and EXD.