Chronic stress produces behavioral depression. Conversely, physical exercise is held to be beneficial in the treatment of depression. Although genomic mechanisms are likely involved in these behavioral changes, underlying mechanisms are not clearly understood. In the present study, we investigated whether stress effects and their reversal by exercise occur via genomic mechanisms in the amygdala, a core part of the limbic system important for regulating mood states. Mice treated with chronic restraint showed lasting depression-like behaviors, which were counteracted by treatment with scheduled forceful exercise. Microarray analysis identified a number of genes whose expression in the amygdala was either upregulated or downregulated after repeated stress, and these changes were reversed by exercise. Of these genes, the neuropeptides oxytocin (OXT) and arginine vasopressin (AVP) were selected as representative stress-induced and exercise-responded genes in the BLA. Stereotaxic injection of OXT or AVP receptor agonists within the BLA in normal mice produced depression-like behaviors, whereas small interfering RNA (siRNA)-mediated suppression of the OXT or AVP transcripts in the BLA was sufficient to block stress-induced depressive behaviors. Stress-induced depression-like behaviors were accompanied by a global reduction of G9a histone methyltransferase and H3K9me2 at the OXT and AVP promoters. Conversely, repeated exercise increased the levels of G9a and H3K9me2 at the OXT and AVP promoters in the BLA, which was associated with the suppression of OXT and AVP expressions. These results identify G9a-induced histone methylation at the OXT and AVP promoters in the BLA as a mechanism for mediating stress-induced lasting behavioral depression and its reversal by exercise.