Exercise is an effective anti-depressant treatment; however, its underlying mechanism remains largely unknown. Fibroblast growth factor 21 (FGF21) is a metabolic hormone critically involved in energy metabolism. Here, we showed that FGF21 knockout significantly diminished exercise-elicited anti-depressant effects, while replenishment with recombinant FGF21 effectively restored the effects of exercise on alleviation of depression by suppressing neuroinflammation, enhancing adult neurogenesis and synaptic plasticity in the hippocampus. However, the FGF21 co-receptor β-klotho was not expressed in hippocampal neurons. The anti-depressant property of FGF21 was attributed to its ability to stimulate adipocyte secretion of adiponectin, which functioned as a downstream effector of FGF21 to confer the anti-depressant effects. Collectively, these data identify FGF21 as an important player in mediating the anti-depressant effects of exercise, possibly by coordinating multi-organ crosstalk among liver, adipose tissue and brain, and also raise the possibility that FGF21 and its agonists may represent a promising therapeutic approach for depression.