Knowledge about the effects of physical exercise on brain is accumulating although the mechanisms through which exercise exerts these actions remain largely unknown. A possible involvement of adult hippocampal neurogenesis (AHN) in the effects of exercise is debated while the physiological and pathological significance of AHN is under intense scrutiny. Recently, both neurogenesis-dependent and independent mechanisms have been shown to mediate the effects of physical exercise on spatial learning and anxiety-like behaviors. Taking advantage that the stimulating effects of exercise on AHN depend among others, on serum insulin-like growth factor I (IGF-I), we now examined whether the behavioral effects of running exercise are related to variations in hippocampal neurogenesis, by either increasing or decreasing it according to serum IGF-I levels. Mutant mice with low levels of serum IGF-I (LID mice) had reduced AHN together with impaired spatial learning. These deficits were not improved by running. However, administration of exogenous IGF-I ameliorated the cognitive deficit and restored AHN in LID mice. We also examined the effect of exercise in LID mice in the novelty-suppressed feeding test, a measure of anxiety-like behavior in laboratory animals. Normal mice, but not LID mice, showed reduced anxiety after exercise in this test. However, after exercise, LID mice did show improvement in the forced swim test, a measure of behavioral despair. Thus, many, but not all of the beneficial effects of exercise on brain function depend on circulating levels of IGF-I and are associated to increased hippocampal neurogenesis, including improved cognition and reduced anxiety.