Depression is a frequent mood disorder that might impair the brain-gut axis. In this study, we divided 30 mice into five groups: untreated mice, mice with depression-like behaviors, mice with depression-like behaviors treated with consumed leucine, mice with depression-like behaviors treated with exercise training, mice with depression-like behaviors treated with exercise training along with consumed leucine. According to artificial intelligence biological analysis, we found some mediators such as lncRNAs profile and Kdr/Vegfα/Pten/Bdnf interactions network in the hippocampus region and ileum tissue which could be decisive molecules in the brain-gut axis. Moreover, KDR as a principal cutpoint protein in the network was identified as the pharmaceutical approach for major depressive ameliorating based on pharmacophore modeling and molecular docking outcomes. Furthermore, we indicated that the mRNA and protein level of the Pten enhanced and Vegfα/Kdr/Bdnf mRNAs, as well as the protein level of KDR, decreased in mice with depression-like behaviors. Moreover, exercise and leucine ameliorated the brain-gut axis in mice with depression-like behaviors. Exercise and leucine regulated the lncRNAs network in the hippocampus and ileum of mice with depression-like behaviors. We suggest that the lncRNAs profiles could be considered as diagnosis and prognosis biomarkers, and exercise + leucine might be a practical approach to improve depression.