Acute or chronic exposure to stress can increase the risk to develop major depressive disorder, a severe, recurrent and common psychiatric condition. Depression places an enormous social and financial burden on modern society. Although many depressed patients are treated with antidepressants, their efficacy is only modest, underscoring the necessity to develop clinically effective pharmaceutical or behavioral treatments. Exercise training produces beneficial effects on stress-related mental disorders, indicative of clinical potential. The pro-resilient and antidepressant effects of exercise training have been documented for several decades. Nonetheless, the underlying molecular mechanisms and the brain circuitries involved remain poorly understood. Preclinical investigations using voluntary wheel running, a frequently used rodent model that mimics aspects of human exercise training, have started to shed light on the molecular adaptations, signaling pathways and brain nuclei underlying the beneficial effects of exercise training on stress-related behavior. In this review, I highlight several neurotransmitter systems that are putative mediators of the beneficial effects of exercise training on mental health, and review recent rodent studies that utilized voluntary wheel running to promote our understanding of exercise training-induced central adaptations. Advancements in our mechanistic understanding of how exercise training induces beneficial neuronal adaptations will provide a framework for the development of new strategies to treat stress-associated mental illnesses.