AimsAs the ovaries age and women transition to menopause and postmenopause, reduced estradiol levels are associated with anxiety and depression. Exercise contributes to alleviate anxiety and depression and the bone‐derived hormone osteocalcin has been reported to be necessary to prevent anxiety‐like behaviors. The aim of this study was to investigate the effects of exercise on anxiety behaviors in climacteric mice and whether it was related to osteocalcin.MethodsMenopausal mouse model was induced by intraperitoneal injection of 4‐vinylcyclohexene diepoxide (VCD). Open field, elevated plus maze, and light–dark tests were used to detect anxious behavior in mice. The content of serum osteocalcin was measured and its correlation with anxiety behavior was analyzed. BRDU and NEUN co‐localization cells were detected with immunofluorescence. Western blot was applied to obtain apoptosis‐related proteins.ResultsThe VCD mice showed obvious anxiety‐like behaviors and 10 weeks of treadmill exercise significantly ameliorated the anxiety and increased circulating osteocalcin in VCD mice. Exercise increased the number of BRDU and NEUN co‐localization cells in hippocampal dentate gyrus, reduced the number of impaired hippocampal neurons, inhibited the expression of BAX, cleaved Caspase3, and cleaved PARP, promoted the expression of BCL‐2. Importantly, circulating osteocalcin levels were positively associated with the improvements of anxiety, the number of BRDU and NEUN co‐localization cells in hippocampal dentate gyrus and negatively related to impaired hippocampal neurons.ConclusionExercise ameliorates anxiety behavior, promotes hippocampal dentate gyrus neurogenesis, and inhibits hippocampal cell apoptosis in VCD‐induced menopausal mice. They are related to circulating osteocalcin, which are increased by exercise.