Bone mesenchymal stem cells (BMSCs) have been used worldwide to treat spinal cord injury, but their therapeutic mechanism is poorly understood. In this study, BMSCs were transplanted to aneurysm clip-injured rats to demonstrate their protective effect. We observed myelin sheaths through Luxol fast blue (LFB) staining, osmic acid staining, TUNEL and transmission electron microscopy (TEM). We performed Western blotting to analyze the expressions of brain-derived neurotrophic factor (BDNF) and caspase 3. BMSCs were transplanted at 1, 7 and 14 days after spinal cord injury. Hindlimb movement (Basso, Beattie and Bresnahan; BBB) score, CNPase (2?, 3?-cyclic-nucleotide 3?-phosphodiesterase), myelin basic protein (MBP) and caspase 3 protein levels were detected. Immunofluorescence was used to test the differentiation of BMSCs after implanted into damaged spinal cord and co-expression of CNPase-caspase 3+. At 7 days after BMSCs transplantation, some injected BMSCs expressed neuronal and oligodendrocyte markers. And both locomotor skills and ultra-structural features of myelin sheaths were significantly improved. The expressions of BDNF were clearly increased by BMSCs transplantation, the expression of caspase 3 was the opposite. Compared with the 1 and 14 days transplantation after spinal cord injury, MBP and CNPase expressions were highest, caspase 3 expression was lowest in 7 days BMSCs transplantation. After BMSCs transplantation, CNPase-caspase 3+ cells scattered in the white matter of the spinal cord. Therefore, BMSCs had a tendency to differentiate into neurons and oligodendrocytes after transplantation, which could promote the secretion of BDNF. BMSCs protected neural myelin sheaths by inhibiting oligodendrocyte apoptosis via increased secretion of BDNF after SCI. The best therapeutic time was 7 days after spinal cord injury.