Objective To observe changes in depressive-like behavior, and expression of oxidative stress markers and brain-derived neurotrophic factor (BDNF) in the CA1 hippocampus in post-stroke depression (PSD) model rats, and to investigate intervention with treadmill exercise in these rats and its possible mechanisms. Methods Forty-four male Sprague-Dawley rats were randomly divided into the following four groups: sham-operation, middle cerebral artery occlusion (MCAO), PSD, and PSD rats treated with 4 weeks of treadmill exercise only (PSD+E). Complete cerebral ischemic rat models of PSD were established by MCAO followed by 4 weeks of chronic unpredictable mild stimulation. Changes in rat behavior were evaluated by forced swimming test (FST) and sugar water preference test (SPT). The activities of superoxide dismutase (SOD) and catalase (CAT), and the levels of malondialdehyde (MDA) in the hippocampus, were detected using kits. Immunohistochemical staining was used to detect BDNF expression in the CA1 hippocampus. Results Compared with the sham group, there was prolongation of the FST immobility time, while sucrose water intake and sucrose consumption ratio in the SPT were significantly decreased in the group. In the PSD group, there was reduced SOD and CAT activity, and increased MDA concentration, in the hippocampus, while the level of BDNF in the hippocampal CA1 of rats was significantly reduced compared with the group. Compared with the PSD group, the PSD + E rats had shorter FST immobility times, significantly higher sucrose water intake and sucrose consumption ratios in the SPT, enhanced SOD and CAT activity, decreased MDA concentration in the hippocampus, and significantly increased expression of BDNF in the hippocampal CA1. Conclusions Treadmill exercise alleviated depressive-like behavior and conferred neuroprotection by reinforcing antioxidant capability in the hippocampus and activating BDNF expression in the hippocampal CA1 of PSD model rats.