Besides significant benefits to physical health, exercise promotes mental health, reduces symptoms of mental illness, and enhances psychological development. Exercise can offset the impact of chronic stress, which is a major precursor to the development of mental disorders. The effects of exercise on chronic stress-induced behaviors are contradictory in preclinical studies, primarily due to the lack of data and sex-specific investigations. We sought to evaluate the effects of exercise on chronic stress-induced behavioral changes in both male and female mice. Mice were subjected to an Unpredictable Chronic Mild Stress (UCMS) paradigm with accessibility to running wheels for 2 h daily. Physiological and behavioral evaluations were conducted throughout the stress paradigm to determine if exercise blunts the effects of UCMS. Chronic stress induced voluntary wheel running (VWR) and weight loss in male and female mice. Compared to males, increased VWR was reported in females who also regained their weight lost by the end of the UCMS protocol. Exercise promoted resilience to stress-induced hyponeophagia in the novelty-suppressed feeding test and increased sucrose consumption. Exercise induced a sex-specific reduction in immobility and avoidance behavior in the tail suspension and open field tests and increased exploratory behavior in the light-dark test. These results indicate that exercise can promote resilience to the behavioral effects of chronic stress in males and females, and can affect behavior independent of chronic stress.