Depression is a debilitating condition with a profound impact on quality of life for millions of people worldwide. Physical exercise is used as a treatment strategy for many patients, but the mechanisms that underlie its beneficial effects remain unknown. Here, we describe a mechanism by which skeletal muscle PGC-1α1 induced by exercise training changes kynurenine metabolism and protects from stress-induced depression. Activation of the PGC-1α1-PPARα/δ pathway increases skeletal muscle expression of kynurenine aminotransferases, thus enhancing the conversion of kynurenine into kynurenic acid, a metabolite unable to cross the blood-brain barrier. Reducing plasma kynurenine protects the brain from stress-induced changes associated with depression and renders skeletal muscle-specific PGC-1α1 transgenic mice resistant to depression induced by chronic mild stress or direct kynurenine administration. This study opens therapeutic avenues for the treatment of depression by targeting the PGC-1α1-PPAR axis in skeletal muscle, without the need to cross the blood-brain barrier.