Physical exercise has beneficial effect on anxiety disorders, but the underlying molecular mechanism remains largely unknown. Here, it is demonstrated that physical exercise can downregulate the S‐nitrosylation of gephyrin (SNO‐gephyrin) in the basolateral amygdala (BLA) to exert anxiolytic effects. It is found that the level of SNO‐gephyrin is significantly increased in the BLA of high‐anxiety rats and a downregulation of SNO‐gephyrin at cysteines 212 and 284 produced anxiolytic effect. Mechanistically, inhibition of SNO‐gephyrin by either Cys212 or Cys284 mutations increased the surface expression of GABA_AR γ2 and the subsequent GABAergic neurotransmission, exerting anxiolytic effect in male rats. On the other side, overexpression of neuronal nitric oxide synthase in the BLA abolished the anxiolytic‐like effects of physical exercise. This study reveals a key role of downregulating SNO‐gephyrin in the anxiolytic effects of physical exercise, providing a new explanation for protein post‐translational modifications in the brain after exercise.