Physical exercise effectively prevents anxiety disorders caused by environmental stress. The neural circuitry mechanism, however, remains incomplete. Here, we identified a previously unrecognized pathway originating from the primary motor cortex (M1) to medial prefrontal cortex (mPFC) via the ventromedial thalamic (VM) nuclei in male mice. Besides anatomical evidence, both ex vivo and in vivo recordings showed enhanced excitability of M1-VM inputs to the prelimbic (PrL) region of mPFC upon 14-day treadmill exercise on a chronic restraint stress (CRS) mouse model. Further functional interrogations demonstrated that the activation of this neural circuit is both necessary and sufficient to direct the anxiolytic effect of exercise training in CRS mice. Our findings provide more insights into the neural circuits connecting motor and mental regions under exercise paradigm and implicate potential targets for neuromodulation in treating anxiety disorders.