Although selective serotonin reuptake inhibitor (SSRI) systems have been meaningfully linked to the clinical phenomena of mood disorders, 15–35% of patients do not respond to multiple SSRI interventions or even experience an exacerbation of their condition. As we previously showed, both running exercise and fluoxetine reversed depression-like behavior. However, whether exercise reverses depression-like behavior more quickly than fluoxetine treatment and whether this rapid effect is achieved via the promotion of oligodendrocyte differentiation and/or myelination in the hippocampus was previously unknown. Sixty male C57BL/6 J mice were used in the present study. We subjected mice with unpredictable chronic stress (UCS) to a 4-week running exercise trial (UCS + RN) or intraperitoneally injected them with fluoxetine (UCS + FLX) to address these uncertainties. At the behavioral level, mice in the UCS + RN group consumed significantly more sugar water in the sucrose preference test (SPT) at the end of the 7th week than those in the UCS group, while those in the UCS + FLX group consumed significantly more sugar water than mice in the UCS group at the end of the 8th week. The unbiased stereological results and immunofluorescence analyses revealed that running exercise, and not fluoxetine treatment, increased the numbers of CC1+ and CC1+/Olig2+/BrdU+ oligodendrocytes in the CA1 subfield in depressed mice exposed to UCS. Moreover, running exercise rather than fluoxetine increased the level of myelin basic protein (MBP) and the G-ratio of myelinated nerve fibers in the CA1 subfield in the UCS mouse model. Unlike fluoxetine, exercise promoted hippocampal myelination and oligodendrocyte differentiation and thus has potential as a therapeutic strategy to reduce depression-like behaviors induced by UCS.