Anxiety disorders cause distress and are commonly found to be comorbid with chronic pain. Both are difficult-to-treat conditions for which alternative treatment options are being pursued. This study aimed to evaluate the effects of transcranial direct current stimulation (tDCS), treadmill exercise, or both, on anxiety-like behavior and associated growth factors and inflammatory markers in the hippocampus and sciatic nerve of rats with neuropathic pain. Male Wistar rats (n = 216) were subjected to sham-surgery or sciatic nerve constriction for pain induction. Fourteen days following neuropathic pain establishment, either bimodal tDCS, treadmill exercise, or a combination of both was used for 20 min a day for 8 consecutive days. The elevated plus-maze test was used to assess anxiety-like behavior and locomotor activity during the early (24 h) or late (7 days) phase after the end of treatment. BDNF, TNF-ɑ, and IL-10 levels in the hippocampus, and BDNF, NGF, and IL-10 levels in the sciatic nerve were assessed 48 h or 7 days after the end of treatment. Rats from the pain groups developed an anxiety-like state. Both tDCS and treadmill exercise provided ethological and neurochemical alterations induced by pain in the early and/or late phase, and a modest synergic effect between tDCS and exercise was observed. These results indicate that non-invasive neuromodulatory approaches can attenuate both anxiety-like status and locomotor activity and alter the biochemical profile in the hippocampus and sciatic nerve of rats with neuropathic pain and that combined interventions may be considered as a treatment option.