Physical exercise has been shown to exert antidepressant effects, but the mechanisms underlying this effect are not completely elucidated. Therefore, we aimed at investigating the antidepressant, pro-neurogenic, and neuroprotective effects of physical exercise and the possible role of FNDC5/irisin for this effect. Treadmill running was used as a protocol of physical exercise (45 min/day/5 days/week for 4 weeks) in female Swiss mice. Immobility time was registered in the tail suspension test (TST) and forced swim test (FST). Immunohistochemical analyses to evaluate hippocampal cell proliferation, neuronal survival, and neuronal commitment and maturation, as well as expression of FNDC5 C-terminal fragment were performed in the entire, dorsal, and ventral dentate gyrus (DG) of the hippocampus. Fluoro-Jade B staining was performed to evaluate degenerating neurons in DG. FNDC5 C-terminal and FNDC5/irisin immunocontents were analyzed by western blot. Exposure to physical exercise reduced the immobility time both in the TST and the FST. This antidepressant-like effect was accompanied by an increase in hippocampal cell proliferation, hippocampal neuronal differentiation, and neuronal survival in the dorsal and ventral DG. Fluoro-Jade B staining was reduced in entire and dorsal DG in exercised mice. Finally, physical exercise also resulted in increased number of FNDC5-positive cells in the hippocampal DG as well as elevated FNDC5 C-terminal and FNDC5/irisin immunocontent in the entire hippocampus. The results suggest that the FNDC5 C-terminal fragment/irisin pathway may be implicated in the antidepressant-like, pro-neurogenic, and neuroprotective effects of treadmill running.