Stress is the physiological responses of organisms to harmful or threatening stimuli that allow appropriate behavioral responses to the stressor. In the present study, the effect of treadmill exercise on stress-induced anxiety was evaluated using rats. To induce stress, the rats were exposed to an inescapable electric foot shock. Exposure of rats to the electric foot shock was performed for 7 days. The rats in the exercise groups were made to run on a motorized treadmill for 30 min once a day for 4 weeks stating one day after last electric food shock. Anxiety-like behaviors were determined by open field test and elevated plus-maze test. The expressions of c-Fos and neuronal nitric oxide synthase (nNOS) in the hypothalamus and locus coeruleus were detected by immunohistochemistry. In the present results, locomotor activity in the center of the open field test and the number of entries and time in the open arms of the elevated plus-maze test were reduced in the rats with stress-induced anxiety. Treadmill running enhanced these locomotor activities, the number of entries and time in the stress-induced anxiety rats. c-Fos and nNOS expressions in the hypothalamus and locus coeruleus were increased in the stress-induced rats. Treadmill exercise reduced c-Fos and nNOS overexpressions in the stress-induced rats. In the present study, treadmill exercise ameliorated anxiety-like behaviors in the stress-induced rats. The improving effect of treadmill exercise on anxiety-like behaviors might be ascribed to the suppressing effect of exercise on c-Fos and nNOS expressions.