Patients suffering from depression frequently display hyperactivity of the hypothalamic-pituitary-adrenal axis (HPA) resulting in elevated cortisol levels. One main symptom of this condition is anhedonia. There is evidence that exercise training can be used as a rehabilitative intervention in the treatment of depressive disorders. In this scenario, the aim of the present study was to assess the effect of an aerobic exercise training protocol on the depressive-like behavior, anhedonia, induced by repeated dexamethasone administration. The study was carried out on adult male Wistar rats randomly divided into four groups: the "control group" (C), "exercise group" (E), "dexamethasone group" (D) and the "dexamethasone plus exercise group" (DE). The exercise training consisted of swimming (1 h/d, 5 d/wk) for 3 weeks, with an overload of 5% of the rat body weight. Every day rats were injected with either dexamethasone (D/DE) or saline solution (C/E). Proper positive controls, using fluoxetine, were run in parallel. Decreased blood corticosterone levels, reduced adrenal cholesterol synthesis and adrenal weight (HPA disruption), reduced preference for sucrose consumption and increased immobility time (depressive-like behavior), marked hippocampal DNA oxidation, increased IL-10 and total brain-derived neurotrophic factor (BDNF; pro-plus mature-forms) and a severe loss of body mass characterized the dexamethasone-treated animals. Besides increasing testosterone blood concentrations, the swim training protected depressive rats from the anhedonic state, following the same profile as fluoxetine, and also from the dexamethasone-induced impaired neurochemistry. The data indicate that physical exercise could be a useful tool in preventing and treating depressive disorders.