Physical exercise is known to reduce anxiety, but the underlying brain mechanisms remain unclear. Here, we explore a hypothalamo-cerebello-amygdalar circuit that may mediate motor-dependent alleviation of anxiety. This three-neuron loop, in which the cerebellar dentate nucleus takes center stage, bridges the motor system with the emotional system. Subjecting animals to a constant rotarod engages glutamatergic cerebellar dentate neurons that drive PKCδ+ amygdalar neurons to elicit an anxiolytic effect. Moreover, challenging animals on an accelerated rather than a constant rotarod engages hypothalamic neurons that provide a superimposed anxiolytic effect via an orexinergic projection to the dentate neurons that activate the amygdala. Our findings reveal a cerebello-limbic pathway that may contribute to motor-triggered alleviation of anxiety and that may be optimally exploited during challenging physical exercise.