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Moderate exercise and mild hypothermia have protective effects against brain injury and neurodegeneration. Running in a cold environment alters exercise-induced hyperthermia and outcomes; however, evaluations of post-exercise cold exposure related to exercise benefits for the brain are relatively rare. We investigated the effects of 4°C cold exposure after exercise on exercise-induced thermal responses and neuroprotection in an MPTP (1-methyl-4-phenyl-1,2,3,6-tetrahydropyridine)-induced Parkinsonian mouse model. Male C57BL/6J mice were pretreated with MPTP for five consecutive days and follow-up treadmill exercise for 4 weeks. After 1-h running at a 22°C temperature, the mice were exposed to a 4°C environment for 2 h. An MPTP injection induced a transient drop in body and brain temperatures, while mild brain hypothermia was found to last for 4 weeks after MPTP treatment. Preventing brain hypothermia by exercise or 4°C exposure was associated with an improvement in MPTP-induced striatal uncoupling protein 4 (UCP4) downregulation and nigrostriatal dopaminergic neurodegeneration. However, 4°C exposure after exercise abrogated the exercise-induced beneficial effects and thermal responses in MPTP-treated mice, including a low amplitude of exercise-induced brain hyperthermia and body temperature while at rest after exercise. Our findings elucidate that post-exercise thermoregulation and UCP4 expression are important in the neuroprotective effects of exercise against MPTP toxicity.