The antidepressive effects of exercise have been a focus of research and are hypothesized to remodel the brain networks constructed by myelinated fibers. However, whether the antidepressant effects of exercise are dependent on changes in white matter myelination are unknown. Therefore, we chose chronic unpredictable stress (CUS) as a model of depression and designed an experiment. After a 4-week CUS period, 40 animals were tested using the sucrose preference test (SPT) and the open field test (OFT). The depressed rats then underwent 4-week running exercise. Next, electron microscopy and unbiased stereological methods were used to investigate white matter changes in the rats. After the 4-week CUS stimulation, body weight, sucrose preference and scores on the OFT were significantly lower in the depression rats than in the unstressed rats (p < .05). After undergoing a 4-week running exercise, the depression rats showed a significantly greater sucrose preference than the depression control rats without running exercise (p < .05). Furthermore, the white matter parameters of the depression rats (including the white matter volumes, the length and volumes of myelinated fibers, and the volumes and thickness of the myelin sheaths) were significantly reduced after the CUS period (p < .05). However, these white matter parameters were significantly increased after running exercise (p < .05). The present study is the first to provide evidence that running exercise has positive effects on white matter and the myelinated fibers of white matter in depressed rats, and this evidence might provide an important theoretical basis for the exercise-mediated treatment of depression.