Exercise is a promising adjunctive therapy for depressive behavior, sleep/wake abnormalities, cognition and motor dysfunction. Conversely, sleep deprivation impairs mood, cognition and functional performance. The objective of this study is to evaluate the effects of exercise on anxiety and depressive behavior and striatal levels of norepinephrine (NE), serotonin and its metabolites in mice submitted to 6 h of total sleep deprivation (6h-TSD) and 72 h of Rapid Eye Movement (REM) sleep deprivation (72h-REMSD). Experimental groups were: (1) mice submitted to 6h-TSD by gentle handling; (2) mice submitted to 72h-REMSD by the flower pot method; (3) exercise (treadmill for 8 weeks); (4) exercise followed by 6h-TSD; (5) exercise followed by 72h-REMSD; (6) control (home cage). Behavioral tests included the Elevated Plus Maze and tail-suspension. NE, serotonin and its metabolites were determined in the striatum using high-performance liquid chromatography (HPLC). Sleep deprivation increased depressive behavior (time of immobilization in the tail-suspension test) and previous exercise hindered it. Sleep deprivation increased striatal NE and previous exercise reduced it. Exercise only was associated with higher levels of serotonin. Furthermore, exercise reduced serotonin turnover associated with sleep deprivation. In brief, previous exercise prevented depressive behavior and reduced striatal high NE levels and serotonin turnover. The present findings confirm the effects of exercise on behavior and neurochemical alterations associated with sleep deprivation. These findings provide new avenues for understanding the mechanisms of exercise.