Acute and chronic exposure to high altitude causes multiple negative neurological consequences. Further research has shown the efficacy of targeted drugs after acute hypoxia. However, the effects and mechanisms of physical therapy like exercise, on after exposed-induced myelin repair and functional improvements have remained unclear. Here, we explored the efficacy of treadmill training at different intensities on recovery in a rat model of acute hypobaric hypoxia (HH) injury. A 4-week treadmill training scheme was used at 30%, 50%, and 70% of maximum speed. The evolution of oligodendrocyte morphometry was observed by immunofluorescence, and the expressions of myelin-related proteins were detected by western blotting. Transmission electron microscopy (TEM) is used to study fine myelin structure. In addition, the open field test (OFT), elevated plus maze (EPM) and Morris water maze (MWM) were used for the observation of cognitive function recovery. Our study revealed varying degrees of demyelination changes in the cortex and hippocampus following acute hypoxia exposure. Additionally, high-intensity treadmill training enhances oligodendrocyte (OL) maturation, improves myelin-related proteins, and increases myelin sheath thickness, thus facilitating myelin repair, rescuing cognitive function and mood disorders, and preserving normal nerve conduction. Finally, the upregulation of peroxisome proliferator-activated receptor gamma coactivator 1 alpha (PGC1α) and key enzymes of cholesterol synthesis (HMGCR/FDPS) induced by high-intensity treadmill training was detected. Our results demonstrate that high-intensity treadmill training as a physical therapy via PGC1α and cholesterol synthesis enhances myelin repair and functional restoration, which should provide new insight for the rehabilitation of remyelination by exercise.