Objective To study the antidepressive effect and mechanism of exercise combined with Paroxetine. Methods Using the method of chronic unpredictable mild stress (CUMS), depression rat model was prepared. The rats were divided into control group, model group, exercise group, Paroxetine group, and combination (exercise and Paroxetine) group. Through regular exercise and Paroxetine intervention, the behavior of the rats was detected by sugar water and Morris water maze test, and used as an objective indicator of lack of pleasure to determine whether the model was duplicated successfully or not. The apoptotic rate of hippocampal cells was detected using flow cytometry. The level of reactive oxygen species (ROS) was measured by DCFH-DA. The expression levels of brain-derived neurotrophic factor (BDNF), phosphorylated extracellular signal-regulated kinases (pERK) and neuropeptide (VGF) were detected using Western blot. Results Compared with the control group, the consumption of sugar water was significantly decreased and the escape latency was prolonged in the model group (P < 0.05). Compared with the exercise group, the consumption of sugar water significantly increased, the escape latency was significantly shortened in the combination group on the 21st d (P < 0.05). The ROS level and the apoptotic rate of the combination group were reduced compared to those of the exercise group (P < 0.05). The expressions of BDNF,pERK and VGF proteins in the hippocampal cells of the model group were significantly lower than those of the control group (P < 0.05). The expressions of BDNF, pERK and VGF proteins were significantly increased in the combination group compared with the exercise group (P < 0.05). Conclusions Paroxetine combined with exercise has better antidepressive effect than exercise therapy or drug therapy alone, can alleviate the lack of pleasure, and reduce oxidative stress injury and apoptosis rate in the hippocampal cells by regulating the expression of downstream target gene VGF through BDNF/pERK signaling pathway.