Despite the importance of this issue, less has been paid to the influence of exercise on the neural side effects of anabolic androgenic steroids and mechanisms. We investigated the effects of two levels of endurance exercise on neurodegeneration side effects of nandrolone. The study period was 8 weeks. Wistar rats were divided into nine groups including the control (CTL) group, mild exercise (mEx) group, and vehicle (Arach) group which received arachis oil intramuscularly, nandrolone (Nan) group which received nandrolone decanoate 5 mg/kg two times weekly, mEx+Arach group which treated with arachis oil along with mild exercise, mEx+Nan group which treated with nandrolone along with mild exercise, severe exercise (sEx) group, sEx+Arach, and sEx+Nan groups. Finally, brain samples were taken for histopathological, biochemical, and western blot analysis. Nandrolone significantly decreased the intact cells of the hippocampus, total antioxidant capacity (TAC) (P < 0.05 versus CTL and Arach groups), TAC to malondialdehyde ratio (TAC/MDA), and Bcl-2. Nandrolone increased the Bax/Bcl-2 ratio of the brain tissue (P < 0.01 versus CTL and Arach groups). Combination of mild exercise and nandrolone rescued the intact cells to some extent, and this effect was associated with the improvement of Bcl-2 level and Bax/Bcl-2 ratio of brain tissue. Combination of severe exercise and nandrolone rescued the intact cells and improved the TAC, TAC/MDA, and Bax/Bcl-2 ratios. The findings suggest that low- and high-intensity endurance exercise decreased the risk of neurodegeneration effect of nandrolone in the hippocampus of rats. This effect can be explained by the regulation of the redox system and cell homeostasis.