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Depression, a common and important cause of morbidity and mortality worldwide, is commonly treated with antidepressants, electric shock and psychotherapy. Recently, increasing evidence has shown that exercise can effectively alleviate depression. To determine the difference in efficacy between exercise and the classic antidepressant fluoxetine in treating depression, we established four groups: the Control, chronic unpredictable stress (CUS/STD), running (CUS/RUN) and fluoxetine (CUS/FLX) groups. The sucrose preference test (SPT), the forced swimming test (FST), the tail suspension test (TST), immunohistochemistry, immunofluorescence and stereological analyses were used to clarify the difference in therapeutic efficacy and mechanism between exercise and fluoxetine in the treatment of depression. In the seventh week, the sucrose preference of the CUS/RUN group was significantly higher than that of the CUS/STD group, while the sucrose preference of the CUS/FLX group did not differ from that of the CUS/STD group until the eighth week. Exercise reduced the immobility time in the FST and TST, while fluoxetine only reduced immobility time in the TST. Hippocampal structure analysis showed that the CUS/STD group exhibited an increase in immature neurons and a decrease in mature neurons. Exercise reduced the number of immature neurons and increased the number of mature neurons, but no increase in the number of mature neurons was observed after fluoxetine treatment. In addition, both running and fluoxetine reversed the decrease in the number of MAP2+ dendrites in depressed mice. Exercise increased the number of spinophilin-positive (Sp+) dendritic spines in the hippocampal CA1, CA3, and dentate gyrus (DG) regions, whereas fluoxetine only increased the number of SP+ spines in the DG. In summary, exercise promoted newborn neuron maturation in the DG and regulated neuronal plasticity in three hippocampal subregions, which might explain why running exerts earlier and more comprehensive antidepressant effects than fluoxetine. • Exercise alleviated some measures of depression faster than fluoxetine. • Only exercise promoted the maturation of new neurons in CUS mice. • Exercise improved synaptic plasticity in more areas of hippocampus than fluoxetine. [ABSTRACT FROM AUTHOR]