Prenatal exposure to dexamethasone (DEX) is known to induce long-term behavioral and molecular impairments. This research investigated whether moderate physical exercise (treadmill running) and venlafaxine administration, or their combination, applied in early adulthood, could modulate the behavioral and brain molecular alterations induced by prenatal DEX exposure. It was demonstrated that both exercise and venlafaxine treatment ameliorated deficits in memory, depressive-like behavior, and anxiety-like behavior. Subsequent proteomic analysis of the frontal cortex revealed significant modulation in the proteome following each intervention.