Aerobic exercise effectively relieves anxiety disorders via modulating neurogenesis and neural activity. The molecular mechanism of exercise-mediated anxiolysis, however, remains incomplete. On a chronic restrain stress (CRS) model in adolescent mice, we showed that 14-day treadmill exercise profoundly maintained normal neural activity and axonal myelination in the medial prefrontal cortex (mPFC), in association with the prevention of anxiety-like behaviors. Further interrogation of molecular mechanisms revealed the activation of the mechanistic target of the rapamycin (mTOR) pathway within mPFC under exercise training. At the upstream of mTOR, exercise-mediated brain RNA methylation inhibited the expression of Fragile X mental retardation protein (FMRP) to activate the mTOR pathway. In summary, treadmill exercise modulates an FMRP–mTOR pathway to maintain cortical neural activity and axonal myelination, contributing to improved stress resilience. These results extended our understanding of the molecular substrate of exercise-mediated anxiolytic effect during adolescent period.