Introduction: Evidence is accumulating that the regular performance of exercise is beneficial for stress coping. However, the hypothalamic-pituitary-adrenocortical (HPA) axis of voluntarily exercising rats has never been comprehensively investigated. Methods: Therefore, male Sprague-Dawley rats were given access to a running wheel in their home cage for 4 weeks in which they ran 4–7 km per night. Results: After 4 weeks, the exercising animals showed significantly less body weight gain, less abdominal fat tissue, decreased thymus weight, and increased adrenal weight (relative to body weight). Furthermore, tyrosine hydroxylase (TH) mRNA levels were selectively increased in the right adrenal me- dulla indicating an increase in sympathoadrenomedullary capacity in exercising rats. No changes were observed in paraventricular corticotropin-releasing hormone (CRH), arginine-vasopressin (AVP) and oxytocin mRNA levels. Mineralocorticoid receptor (MR) mRNA levels in hippocampus and glucocorticoid receptor (GR) mRNA levels in frontal cortex, parvocellular paraventricular nucleus and anterior pituitary were unchanged, whereas GR mRNA levels were increased in distinct hippocampal cell layers. Early morning baseline levels of plasma ACTH and corticosterone were similar in both groups. Interestingly, the response to different stressful stimuli (e.g. forced swimming, novelty) revealed that the exercising rats showed stressor-specific changes in HPA hormone responses. Forced swimming evoked a markedly enhanced response in corticosterone levels in the exercising rats. In contrast, if rats were exposed to a novel environment, exercising rats showed a much lower response in corticosterone than the control animals. However, the response in ACTH to either stressor was comparable between groups. Thus, in exercising rats physically demanding stressors evoke enhanced glucocorticoid responses whereas mild psychologically stressful stimuli such as novelty result in an attenuated glucocorticoid response. Interestingly, this attenuated hormone response corresponded with the observation that the exercising rats showed less anxious behaviour in the novelty situation. Conclusions: The differential responses in plasma corticosterone levels to different types of stress in the face of comparable responses in ACTH levels underscore the existence of critical regulatory control mechanisms at the level of the adrenal gland. We have hypothesized that changes in the sympathoadrenomedullary input may play an important role in these distinct glucocorticoid responses to stress. Our previous studies have shown similar changes in voluntarily exercising mice. Therefore, we conclude that the effects of exercise on the organism are not species-specific. Thus, our observations may have translational implications for the human situation.