Objective To explore whether exercise training can ameliorate estrogen deficiency-induced depression-like behavior and its mechanisms, so as to provide evidence for treating menopausal depression with exercise. Methods A total of 60 female adult C57BL/6J mice were randomly assigned to Sham-sedentary (Sham), Sham-exercise (Sham+Ex), Ovx-sedentary (Ovx) and Ovx-exercise (Ovx Ex) groups. Sham operation or bilateral Ovx was performed. After recovery for 1 week, Sham Ex and Ovx Ex mice were adapted to the treadmill for 5 weeks. We use sucrose consumption test, open field test and tail suspension test to inspect the mice of behavior change; then the mice were decapitated, and the serum and hippocampus samples were collected. 5-hydroxytryptamine (5-HT), indoleamine 2,3-dioxygenase (IDO) and inflammatory cytokine in the hippocampus were determined using a commercial ELISA kit. Results Compared with Sham mice, Ovx mice developed depression-like behaviors, including loss of interests, decreased exploratory behavior and increased behavioral despair, and exercise training could ameliorate these depression-like behaviors. Compared with the Sham group, Ovx group had significantly decreased hippocampal 5-HT level (P<0.01) and significantly increased IDO level (P<0.05) in the hippocampus, which were reversed by exercise training. The hippocampal levels of proinflammatory cytokines, IL-1β (P<0.05), IL-6 (P<0.01) and IFN-γ (P<0.01) in Ovx group were significantly increased compared to Sham mice, while the anti-inflammatory cytokines, IL-4 (P<0.01) and IL-10 (P<0.05), were significantly decreased in Ovx mice; exercise training could also reverse the alterations of IL-1β, IFN-γ and IL-4 levels in Ovx mice. Conclusion Exercise training can ameliorate estrogen deficiency-induced depression-like behaviors, which may be through improving inflammation in the hippocampus.