Depression is associated with stress-induced neural atrophy in limbic brain regions, whereas exercise has antidepressant effects as well as increasing hippocampal synaptic plasticity by strengthening neurogenesis, metabolism, and vascular function. A key mechanism mediating these broad benefits of exercise on the brain is induction of neurotrophic factors, which instruct downstream structural and functional changes. To systematically evaluate the potential neurotrophic factors that were involved in the antidepressive effects of exercise, in this study, we assessed the effects of swimming exercise on hippocampal mRNA expression of several classes of the growth factors (BDNF, GDNF, NGF, NT-3, FGF2, VEGF, and IGF-1) and peptides (VGF and NPY) in rats exposed to chronic unpredictable mild stress (CUMS). Our study demonstrated that the swimming training paradigm significantly induced the expression of BDNF and BDNF-regulated peptides (VGF and NPY) and restored their stress-induced downregulation. Additionally, the exercise protocol also increased the antiapoptotic Bcl-xl expression and normalized the CUMS mediated induction of proapoptotic Bax mRNA level. Overall, our data suggest that swimming exercise has antidepressant effects, increasing the resistance to the neural damage caused by CUMS, and both BDNF and its downstream neurotrophic peptides may exert a major function in the exercise related adaptive processes to CUMS.