Although physical activity reduces anxiety in humans, the neural basis for this response is unclear. Rodent models are essential to understand the mechanisms that underlie the benefits of exercise. However, it is controversial whether exercise exerts anxiolytic-like potential in rodents. Evidence is reviewed to evaluate the effects of wheel running, an experimental mode of exercise in rodents, on behavior in tests of anxiety and on norepinephrine and galanin systems in neural circuits that regulate stress. Stress is proposed to account for mixed behavioral findings in this literature. Indeed, running promotes an adaptive response to stress and alters anxiety-like behaviors in a manner dependent on stress. Running amplifies galanin expression in noradrenergic locus coeruleus (LC) and suppresses stress-induced activity of the LC and norepinephrine output in LC-target regions. Thus, enhanced galanin-mediated suppression of brain norepinephrine in runners is supported by current literature as a mechanism that may contribute to the stress-protective effects of exercise. These data support the use of rodents to study the emotional and neurobiological consequences of exercise.