•Running exercise significantly improves the behavior results in depression model rats.•The number of oligodendrocyte of the CA3 and DG is decreased in depression model rats.•Running exercise has positive effect on the oligodendrocytes in depression model rats. Running exercise has been shown to be associated with decreased symptoms of depression. However, the mechanisms underlying these antidepressant effects of running exercise remain relatively unclear. In the current study, we investigated the relationship between depressive symptoms in chronic unpredictable stress (CUS) model rats treated with running exercise and changes in oligodendrocytes in the hippocampus. After 4 weeks of CUS, the model group was randomly divided into a CUS standard group (18 rats) and a CUS running group (15 rats). Then, a 4-week treadmill running trial was performed with the CUS running group. In addition, the behavioral effects of exercise were investigated by means of a sucrose preference test (SPT) and an at the end of the 8th week. Immunohistochemical methods and modern stereological methods were used to precisely quantify the total number of 2′,3′-cyclic nucleotide 3′-phosphodiesterase (CNPase)-positive (CNPase+) oligodendrocytes in each hippocampal subregion. At the behavioral level, after four weeks of running, the CUS running group displayed significantly higher consumption of sucrose water in the SPT than the CUS standard group. Unbiased stereological analyses revealed significantly higher total numbers of CNPase+ cells in the hippocampal CA3 and dentate gyrus regions in the CUS running group than in the CUS standard group, whereas there was no significant difference between the groups in the number of CNPase+ cells in the hippocampal CA1 region. The present results further confirm that exercise can alleviate symptoms and protect hippocampal oligodendrocytes in depressed rats.