Major depression disorder is a debilitating psychiatric disease affecting millions of people worldwide. This disorder is the leading cause of morbidity and mortality in high-income countries. Selective serotonin reuptake inhibitors such as fluoxetine are first-line drugs for treating depression-related disorders, but not all patients respond well to these antidepressants. This study aimed to evaluate whether fluoxetine combined with aerobic exercise can affect lipopolysaccharide (LPS)-induced depressive-like behavior, hypothalamic-pituitary-adrenal (HPA) axis dysregulation, and brain inflammation in mice. Male mice were exposed to fluoxetine, swimming exercise, or a combination of both and finally treated with LPS. We measured depression-related symptoms such as anhedonia, behavioral despair, weight gain, and food intake. Hormones (corticosterone and testosterone) and cytokines (IL-1β, IL-6, TNF-α, IL-10) were also measured in serum and brain (hippocampus and prefrontal cortex), respectively. The findings indicated that LPS induced anhedonia and behavioral despair and increased corticosterone, hippocampal IL-1β, TNF-α, and decreased testosterone and hippocampal IL-10 in mice. Fluoxetine and exercise separately reduced LPS-induced depressive-like behavior, while their combination synergistically reduced these symptoms in LPS-treated mice. We found fluoxetine alone increased food intake and body weight in LPS-treated mice. Fluoxetine and exercise combination reduced corticosterone, hippocampal TNF-α, and prefrontal IL-6 and TNF-α levels and increased testosterone and hippocampal and prefrontal IL-10 levels more effectively than fluoxetine alone in LPS-treated mice. This study suggests that swimming exercise combined with fluoxetine can affect depression-related behavior, HPA axis, and brain inflammation more effectively than when they are used separately.