Increasing clinical evidence suggests that regular physical exercise can prevent or reduce the incidence of stress-related psychiatric disorders including depressive symptoms. Antidepressant effect of regular exercise may be implicated in monoaminergic transmission including serotonergic transmission, activation of the hypothalamic-pituitary-adrenal (HPA) axis, and hippocampal neurogenesis, but few general concepts regarding the optimal exercise regimen for stimulating neural mechanisms involved in antidepressant properties have been developed. Here, we examined how 4 weeks of treadmill running at different intensities (0, 15, 25 m/min, 60 min/day, 5 times/week) alters neuronal activity in the dorsal raphe nucleus (DRN), which is the major source of serotonin (5-HT) neurons in the central nervous system, and the hypothalamic paraventricular nucleus (PVN), in which corticotropin-releasing factor (CRF) neurons initiate the activation of the HPA axis, during one session of acute treadmill running at different speeds (0, 15, 25 m/min, 30 min) in male Wistar rats, using c-Fos immunohistochemistry. We also examined neurogenesis in the hippocampus using immunohistochemistry for doublecortin (DCX) and assessed depressive-like behavior using the forced swim test after regular exercise for 4 weeks. In the pre-training period, acute treadmill running at low speed, but not at high speed, increased c-Fos positive nuclei in the DRN compared with the sedentary control. The number of c-Fos positive nuclei in the PVN during acute treadmill running was increased in a running speed-dependent manner. Regular exercise for 4 weeks, regardless of the training intensity, induced an enhancement of c-Fos expression in the DRN during not only low-speed but also high-speed acute running, and generally reduced c-Fos expression in the PVN during acute running compared with pre-training. Furthermore, regular treadmill running for 4 weeks enhanced DCX immunoreactivity in the hippocampal dentate gyrus (DG), and resulted in decreased depressive-like behavior, regardless of the training intensity. These results suggest that long-term repeated exercise, regardless of the training intensity, improves depressive-like behavior through adaptive changes in the sensitivity of DRN and PVN neurons to acute exercise, and hippocampal neurogenesis.