Pain accompanied by depressive symptoms is a common reason for seeking medical assistance, and many chronic pain patients experience comorbid depression. The brain-derived neurotrophic factor (BDNF) is a well-known neurotrophin expressed throughout the nervous system, playing a crucial role in neuronal growth and neuroplasticity. This study aimed to examine the effects of exercise on BDNF expression in the nervous system and reserpine (RSP)-induced pain-depression dyad. RSP (1 mg/kg) was subcutaneously administered once daily for three days in mice. The exercise was performed using a rota-rod tester for seven consecutive days following RSP administration. Pain responses were evaluated using von Frey filaments, and depression-like behaviors were assessed through forced swimming and open field tests. Immunofluorescence staining was performed to examine the changes in BDNF expression in the dorsal root ganglion (DRG), spinal cord, and hippocampus. Administration of RSP reduced mechanical paw withdrawal threshold, increased immobility time in the forced swimming test, and decreased movement in the open field test. The immunoreactivity of BDNF was increased in the DRG and spinal dorsal regions, and decreased in the hippocampus after RSP administration. Physical exercise significantly reduced the RSP-induced mechanical hypersensitivity and depression-like behaviors. In addition, exercise suppressed not only the increased expression of BDNF in the DRG and spinal dorsal regions but also the decreased expression of BDNF in the hippocampus induced by RSP administration. These findings suggest that repetitive exercise could serve as an effective and non-invasive treatment option for individuals experiencing both pain and depression by modulating BDNF expression.