Aerobic exercise effectively ameliorates mental disorders including anxiety and depression. Current findings mainly attribute its neural mechanism to the improvement of adult neurogenesis, while leaving the possible circuitry mechanism unclear. In the current study, we identify the overexcitation of the medial prefrontal cortex (mPFC) to basolateral amygdala (BLA) pathway under chronic restraint stress (CRS), and 14-day treadmill exercise selectively reverses such abnormalities. Using chemogenetic approaches, we find that the mPFC-BLA circuit is necessary for preventing anxiety-like behaviors in CRS mice. These results collectively suggest a neural circuitry mechanism by which exercise training improves the resilience against environmental stress.