Objective: To determine the appropriate time points to start regular exercise which could reduce age-related anxiety and impaired social behavior. Methods: For this study, 8-week-old male Wistar rats were divided into three groups: no exercise (NoEX), short-term exercise (S-Ex), and long-term exercise (L-Ex) groups. S-Ex-group rats started treadmill exercise at 12 months of age, while L-Ex rats started from at 2 months of age. Exercise rats were forced to walk on the treadmill three times per week, with 1- to 2-day intervals for 10 minutes during the first 2 weeks, at 10 m/min until 17 months of age, and at 8 m/min thereafter. At 19 months of age, behavioral tests were performed to assess the effects of exercise on age-induced behavioral change as well as quantitative polymerase chain reaction were done to uncover the mechanism behind the behavioral changes. Results: Anxiety-like behavior was improved by long-term exercise. Additionally, rats belonging to the S-Ex and L-Ex groups showed improved social behavior and increased curiosity about interesting objects. The qPCR data showed that treadmill exercise suppressed the expression of immediate-early genes in the prefrontal cortex of the aged rats. Conclusion This study suggests that long-term exercise represses early response genes, and in this way, it increases resistance to stress, diminishes anxiety-related behavior, and improves social behavior. These findings underscore the need to consider appropriate time to start exercise to prevent stress induced anxiety related behavior.