The adolescent brain is vulnerable to long-lasting cognitive disturbances resulting from nicotine exposure. Although exercise has been used as an intervention for ameliorating cognitive deficits in various disorders, the effect on cognitive changes induced by nicotine exposure and its underlying mechanisms remain unclear. The purpose of this study was to investigate the effects of exercise on nicotine reward-associated cognitive behaviors in adolescent rats subjected to nicotine conditioned place preference paradigm (CPP). Male adolescent rats were trained on the Go/NoGo task, then subjected to nicotine CPP, and then randomly separated into four groups: sedentary (SED), high- (HE), moderate- (ME), and low-intensity (LE) exercise. Rats in exercise groups performed treadmill running 30 min daily for 10 days. Results showed that MEs had shorter escape latencies in the Morris water maze (MWM) test compared to SEDs. Although time spent and distance swam in the target quadrant significantly increased in both the MEs and HEs, the number of target quadrant crosses increased significantly only in MEs. MEs and HEs showed higher performance accuracy on NoGo and lower scores on CPP tasks. Expression of α7 nicotinic acetylcholine receptors (nAChRs) and downstream signaling molecules increased in MEs in prefrontal cortex but not hippocampus, with α7 nAChRs expression positively associated with NoGo accuracy and MWM probe test performance, but negatively correlated with CPP scores. The findings of this study suggest that moderate-intensity exercise can improve nicotine induced cognitive behaviors, and implicates prefrontal cortical α7 nAChR-mediated signal transduction as a possible mechanism.