Increasing evidence shows that higher physical activity such as running and swimming exercises is associated with decreased depression-related symptoms. However, underlying mechanisms are not fully understood. This study aimed to investigate whether oxytocinergic system can mediate the antidepressant effect of swimming exercises in mice. First, male NMRI mice were subjected to swimming training for eight weeks, then animals intraperitoneally received oxytocin antagonist (L-368899) 1 h before behavioral tests. We assessed anhedonia and social behavior and behavioral despair using the sucrose preference test, social interaction test, and tail suspension test. Oxytocin levels in the brain and serum were also measured. The results showed that swimming training decreased anhedonia and behavioral despair, whereas it increased social behavior and oxytocin levels in male mice. On the other hand, a subthreshold dose of oxytocin antagonist treatment in exercised mice prevented the antidepressant effect of swimming exercise via increased anhedonia and behavioral despair and decreased social behavior compared to the swimming training group. However, the blockade of oxytocin receptors did not affect oxytocin levels in exercised mice. Overall, these findings suggest that oxytocinergic system can play a role in mediating the antidepressant-like effect of swimming training in mice.