Exercise has been shown to alleviate depressive symptoms and enhance bodily functions. However, the precise mechanisms underlying its antidepressant effects remain incompletely understood. In this study, we observed that treadmill exercise may exert antidepressant effects in a chronic restraint stress (CRS) mouse model by modulating the proinflammatory Growth Differentiation Factor 15 (GDF15)-extracellular signal-regulated kinase (ERK) signaling pathway. Treadmill exercise improved cognitive behaviors in CRS mice and alleviated neuroinflammation, as evidenced by decreased expression of TNF-alpha, IL-1 beta, IL-6, and attenuated microglia activation. Intriguingly, we found that treadmill exercise inhibited the expression of GDF15, a biomarker associated with many immune disorders, which is increased following CRS. Mechanistically, treadmill exercise may attenuate neuroinflammation by suppressing GDF15-induced ERK activation. We thus identified a novel mechanism by which treadmill exercise attenuates depression. Modulation of the GDF15-ERK pathway may have therapeutic implications for depression.