It is well known that exercise produces analgesic effects (exercise-induced hypoalgesia (EIH)) in animal models and chronic pain patients, but the brain mechanisms underlying these EIH effects, especially concerning the emotional aspects of pain, are not yet fully understood. In this review, we describe drastic changes in the mesocorticolimbic system of the brain which permit the induction of EIH effects. The amygdala (Amyg) is a critical node for the regulation of emotions, such as fear and anxiety, which are closely associated with chronic pain. In our recent studies using neuropathic pain (NPP) model mice, we extensively examined the association between the Amyg and EIH effects. We found that voluntary exercise (VE) activated glutamate (Glu) neurons in the medial basal Amyg projecting to the nucleus accumbens (NAc) lateral shell, while it almost completely suppressed NPP-induced activation of GABA neurons in the central nucleus of the Amyg (CeA). Furthermore, VE significantly inhibited activation of pyramidal neurons in the ventral hippocampus-CA1 region, which play important roles in contextual fear conditioning and the retrieval of fear memory. This review describes novel information concerning the brain mechanisms underlying EIH effects as a result of overcoming the fear-avoidance belief of chronic pain.