A common trait of antidepressant drugs, electroconvulsive treatment and physical exercise is that they relieve depression and up-regulate neurotrophic factors as well as cell proliferation and neurogenesis in the hippocampus. In order to identify possible biological underpinnings of depression and the antidepressant effect of running, we analysed cell proliferation, the level of the neurotrophic factor BDNF in hippocampus and dynorphin in striatum/accumbens in ‘depressed’ Flinders Sensitive Line rats (FSL) and Flinders Resistant Line (FRL) rats with and without access to running-wheels. The FRL strain exhibited a higher daily running activity than the FSL strain. Wheel-running had an antidepressant effect in the ‘depressed’ FSL rats, as indicated by the forced swim test. In the hippocampus, cell proliferation was lower in the ‘depressed’ rats compared to the control FRL rats but there was no difference in BDNF or dynorphin levels in striatum/accumbens. After 5 wk of running, cell proliferation increased in FSL but not in FRL rats. BDNF and dynorphin mRNA levels were increased in FRL but not to the same extent in the in FSL rats; thus, increased BDNF and dynorphin levels were correlated to the running activity but not to the antidepressant effect of running. The only parameter that was associated to basal level of ‘depression’ and to the antidepressant effect was cell proliferation in the hippocampus. Thus, suppression of cell proliferation in the hippocampus could constitute one of the mechanisms that underlie depression, and physical activity might be an efficient antidepressant.