Diabetes mellitus induces neuropsychiatric comorbidities at an early stage, which can be ameliorated by exercise. However, the neurobiological mechanisms underlying this ameliorative effect remain unclear. The present study was conducted in Otsuka Long-Evans Tokushima fatty (OLETF) rats, which develop diabetes with age, and aimed to investigate whether social and anxiety-like behaviors and neurobiological changes associated with these behavioral phenotypes were reversed by voluntary exercise and whether those were maintained in the later stage. We investigated the effects of exercise at different diabetic stages in OLETF rats by comparing with control rats. Three groups of OLETF rats were used: sedentary rats, rats exercising on a wheel for two weeks at 4–5 weeks of age (early voluntary exercise), and those exercising at 10–11 weeks of age (late voluntary exercise). In the elevated plus-maze test, both early and late voluntary exercises did not affect anxiety-like behavior. In the social interaction tests, both early and late voluntary exercises ameliorated impaired sociability, novel exploration deficits, and hypoactivity in OLETF rats. Both early and late voluntary exercises reversed the increases in cholecystokinin-positive neuron densities in the infralimbic cortex and hippocampal cornu ammonis area 3 in the OLETF rats, although they did not affect the area-reduction in the medial prefrontal cortex and the increase in cholecystokinin-positive neuron densities in the basolateral amygdala. These suggest that voluntary exercise has therapeutic effects on impaired sociability and novel exploration deficits associated with cholecystokinin-positive neurons in specific corticolimbic regions in OLETF rats, and those are maintained after early exercise.