Physical exercise is considered beneficial in the treatment of depression, but the underlying mechanism is not clearly understood. In the present study, we investigated the mechanism regulating antidepressant effects of exercise by focusing on the role of the amygdala using a well-defined animal model of depression. C57BL/6 mice treated with repeated restraint showed depression-like behaviors, which was counteracted by post-stress treatment with physical exercise. The two neuropeptides hypocretin/orexin (Hcrt/Orx) and melanin-concentrating hormone (MCH) were transcriptionally upregulated in the BLA after repeated stress, and their enhanced expression was downregulated by treatment with exercise, mirroring stress-induced depression-like behaviors and their reversal by exercise. Stereotaxic injection of either Hcrt/Orx peptide or MCH peptide within the BLA commonly increased phospho-CaMKIIα level and produced depression-like behaviors, mimicking the neural states in the BLA of mice subjected to repeated stress. In contrast, siRNA-mediated suppression of Hcrt/Orx or MCH in the BLA blocked stress-induced depression-like behaviors. Furthermore, siRNA-mediated inhibition of CaMKIIα in the BLA also counteracted stress-induced depression-like behaviors. Local injection of Hcrt/Orx peptide or MCH peptide within the BLA in exercise-treated animals blocked antidepressant-like effects of exercise. Together these results suggest that exercise produces antidepressant effects via suppression of Hcrt/Orx and MCH neural systems in the BLA.