The regular performance of exercise has beneficial effects on autonomic control, metabolism, immune and brain function. To increase our understanding of the beneficial effects of exercise on stress coping we investigated changes in the hypothalamic-pituitary-adrenocortical (HPA) axis and behaviour in mice and rats that had been voluntarily exercising since 4 weeks. If given a running wheel in their home cage, rodents such as mice and (Sprague Dawley) rats run spontaneously. They run on average 4 (mice) to 6 km (rats) per day, almost exclusively during the first half of the dark period. Overall, exercising mice and rats showed strikingly similar changes in stress-related behaviour and HPA axis regulation. Exercising mice showed substantially less anxiety-related behaviour in the open field, elevated plus-maze and light-dark box tests than sedentary mice. Exercising rats were much less anxious than their sedentary controls when introduced to a brightly lit novel environment. Changes in the HPA axis after exercise were most dramatically seen at the adrenal level. No changes were observed in paraventricular CRF, vasopressin and oxytocin expression and hippocampal glucocorticoid receptor expression levels, and baseline and stress-induced plasma ACTH concentrations. However, after exercise the adrenal cortex was moderately enlarged and the adrenal medulla showed elevated tyrosine hydroxylase mRNA expression, suggesting an enhanced adrenaline secretory capacity. Physically demanding stressors (e.g. forced swimming) evoked a much higher glucocorticoid response in exercised animals which may be a result of the enhanced sympathoadrenomedullary capacity (known to potentially act as a positive modulator of glucocorticoid secretion) in these animals. In contrast, the glucocorticoid response to novelty exposure, a mild psychological stressor, was highly attenuated in exercised animals, which corresponds with the decreased anxiety in these animals. Thus, stressor-specific regulatory control mechanisms act at the level of the adrenal gland able to augment as well as to attenuate glucocorticoid output.