Growing data from human and animal studies indicate the beneficial effects of exercise on several clinical outcomes in patients with multiple sclerosis (MS), an autoimmune, demyelinating disease, suggesting that it may slow down the disease progression, by reducing brain damage. However, the mechanisms involved are still elusive. Aim of this study was to address the effects of voluntary running wheel in a toxic-demyelinating model of MS, in which demyelination and brain inflammation occur in response to cuprizone (CPZ) treatment. Mice were housed in standard or wheel-equipped cages starting from the day of CPZ or normal chow feeding for three or six weeks and evaluated for weight changes, locomotor skills and neuromuscular functions over the course of the experimental design. Biochemical, molecular biology and immunohistochemical analyses were performed. Exercise prevented early weight loss caused by CPZ, indicating improved wellness in these mice. Both neuromuscular function and motor coordination were significantly enhanced by exercise in CPZ-treated mice. Moreover, exercise induced an early protection against axonal damage and the loss of the myelin associated proteins, myelin basic protein (MBP) and 2',3'-Cyclic-nucleotide 3'-phosphodiesterase (CNPase), in the striatum and the corpus callosum, in coincidence of a strongly attenuated microglia activation in both brain areas. Further, during the late phase of the treatment, exercise in CPZ mice reduced the recruitment of new OLs compared to sedentary CPZ mice, likely due to the precocious protection against myelin damage. Overall, these results suggest that life-style interventions can be effective against the demyelinating-inflammatory processes occurring in the brains of MS patients.