The positive effects of both ketogenic diet (KD) and regular voluntary exercise on anxiety and depression behavior have been recently reported in rodent animals, but the effects of pairing a KD with exercise on depression and anxiety are unknown. In this study, we aimed to investigate the effects of combination of KD and regular voluntary exercise on anxiety and depression-like behavior in Balb/c mice. We’ve demostrated that anxiety and depression levels decreased in KD-exercised (KD-Ex) mice. β-hydroxybutyrate (BHB) levels increased while glucose, insulin levels and LDL/HDL ratio decreased in KD-Ex mice. There was a negative correlation between BHB and the time spent in the closed arms of elevated plus maze (EPM) or the time spent in periphery walls of open field test (OFT) and the immobility time in forced swim test (FST) which all of them are indicators of low depression and anxiety levels. There was a positive correlation between LDL/HDL ratio and the time spent in the closed arms of EPM or the immobility time in FST. The immobility time in FST was positively correlated with insulin while the mobility time in FST was negatively correlated with glucose. In conclusion, these results suggest that decline in anxiety and depression-like behaviors resulted from KD with regular voluntary exercise may be associated with increased BHB levels and decreased LDL/HDL ratio and insulin or glucose levels. Further research is necessary for our understanding of the mechanisms by which pairing a KD with voluntary exercise influences brain and behavior.