The use of an artificial neural network (ANN) system to differentiate the EEG power density spectra in depressed from normal rats was tried. The beneficial effects of chronic physical exercise in reducing the effects of stress and therefore depression was also to be tested in animals by the same method. In this study, rats were divided into 4 groups, subjected to (i) chronic stress (D group); (ii) chronic exercise by treadmill running (EO group); (iii) exercise with stress (ES group) and (iv) handling (C group). The prefrontal cortical EEG, EMG and EOG were recorded simultaneously on paper and the digitized EEG signals were also stored in the hard-disk of a PC-AT through an ADC. After filtering the digitized signals, the EEG power spectra were calculated by an FFT routine. Three successive 4 s artefact-free epochs were averaged. The REM and NREM sleep periods as well as the awake period signals were analyzed separately. The FFT values from each of the 3 states, in the 4 groups of animals were tested by an ANN with 30 first layer neurons and a 2nd layer of a majority-vote-taker. The ANN could distinguish the depressed from the normal rats' EEG very well in REM (99%) sleep, NREM (95%) sleep and awake (81%) states. In most of the cases it identified the exercised rats' EEG as normal.