The mechanisms underlying exercise-induced neuroprotective effects after traumatic brain injury (TBI) remained elusive, and there is a lack of effective treatments for TBI. In this study, we investigated the effects of an integrative approach of exercise and Yisaipu (TNFR-IgG fusion protein, TNF inhibitor) in a mouse TBI model. Male C57BL/6J mice were randomly assigned to a sedentary group or a group that followed a voluntary exercise regimen. The effects of 6-week prophylactic preconditioning exercise (PE) alone or in combination with post-TBI Yisaipu treatment on moderate TBI associated deficits were examined. The results showed that combined treatments of PE and post-TBI Yisaipu were superior to single treatments on reducing sensorimotor and gait dysfunctions in mice. These functional improvements were accompanied by reduced systemic inflammation largely via decreased serum TNF-α, boosted autophagic flux, and mitigated lesion volume after TBI. Given these neuroprotective effects, composite approaches such as a combination of exercise and TNF inhibitor may be a promising strategy for facilitating functional recovery from TBI and are worth further investigation.