Exercise is accepted as a positive health behaviour; however, the mechanisms of exercise on neuroprotection and cognitive health are not completely understood. The purpose of this study was to explore the neurobiological benefits of chronic treadmill exercise in female and male mice through its role in microglial content and morphology, cerebral vascularization, and perineuronal net (PNN) expression. We further examined how these neurobiological changes relate to spatial memory outcomes. Adult mice were assigned to a sedentary or treadmill exercise group for eight weeks. During the final week, all mice were trained on a spatial memory task (Barnes maze) and brains were collected for immunohistochemistry. Exercised mice made fewer errors than sedentary mice during the first two days of training and probe trial. Females, regardless of exercise training, made fewer errors during Barnes maze training and demonstrated a greater frequency of spatial strategy use compared to males. Exercised mice, regardless of sex, had fewer PNNs in the dentate gyrus of the hippocampus compared to sedentary controls. The number of PNNs in the dorsal dentate gyrus was positively correlated with total errors during training. During the probe, greater errors correlated with more PNNs among the exercised group only. Microglia count and cerebral vascularization were not affected by exercise, although proportions of microglia type (ameboid, stout/thick, and thick/thin) were regulated by exercise in the ventral dentate gyrus. We conclude that exercise decreases PNNs in the dentate gyrus in both sexes and this may be related to better spatial learning and memory.