Gene expression in the rodent brain is dependent on exercise. However, our findings regarding this fact are inadequate. The aim of this study was to evaluate the effect of exercise intensity on changes in factors involved in neuronal differentiation and plasticity in the hippocampus of adult male rats. Thus, the effects of 2 weeks treadmill running at of low (11 m/min) and high (25 m/min) intensities, 30 min/day for 14 consecutive days on the expression of two genes, microRNA-124 and neuron-restrictive silencer factor/RE1-silencing transcription factor (REST) as well as changes of two proteins of brain-derived neurotrophic factor (BDNF) and tyrosine kinase B (TrkB) were analysed. Using quantitative real-time PCR techniques have shown that both exercise intensities reduced the expression of REST (31% in low exercise intensity, 52% in high exercise intensity) and elevated the expression of miR-124 (3.8-fold in low exercise intensity, 11.9-fold in high exercise intensity) significantly (P ≤ 0.05). This suggests that exercise probably through the changes in these genes is involved in neuronal differentiation in the hippocampus of rats. BDNF and TrkB levels were measured by ELISA. Exercise, at low intensity, increased TrkB (4.51 ng/L vs. 3.73 ng/L) and BDNF (11.97 ng/L vs. 11.08 ng/L) proteins significantly (P ≤ 0.05), while at high intensity, the changes in comparison with the control group were not significant. Expression levels during the exercise programme with high intensity were dramatic for miR-124 and less dramatic for REST compared with low intensity exercise programme.