Sleep is a physiological process that influenced by internal and external factors and brain is as active as waking in certain periods. REM sleep is demonstrated in the literature that provides psychological relaxation due to more frequent occurrence of psychiatric disorders in sleep deprivation and causes depression / anxiety-like situations. There are studies in the literature indicate that physical exercise may be useful on depressive / anxiety. However, the duration and physical severity of the physical exercise and sleep deprivation affects the results. For this reason, we investigated the effect of long-term exercise on depression / anxiety behavior on acute REM sleep deprived rats. Rats were divided into control (C), exercise (E), REM sleep deprivation (SD) and exercise + REM sleep deprivation (E + SD) (n = 7). For developing REM sleep deprivation, rats were kept in a sleep deprivation tank during a 48-hour period. Exercise was performed with treadmill for 15, 30, 45 and 60 minutes for 4 weeks. Depressive / anxiety behaviors were assessed with open field and elevated plus maze tests. It has been shown that the sleep deprivation group takes less distance in the open field test. It was observed that in the elevated plus maze test, the rats in the sleep deprivation group spent less time on the open-arm compared to the other groups, and the number of entries and exits in this group also decreased. Behavioral test findings show that depressive / anxiety-like effects of sleep deprivation are reduced by moderate treadmill exercise.