Recent evidence has revealed the impact of exercise in alleviating anxiety and mood disorders; however, the exercise protocol that exerts such benefit is far from known. The current study was aimed to assess the effects of long-term moderate exercise on behavioural coping strategies (active vs. passive) and Hypothalamic-Pituitary-Adrenal response in rats. Sprague-Dawley male and female rats were exposed to 32-weeks of treadmill exercise and then tested for two-way active avoidance learning (shuttle-box). Two groups were used as controls: a non-handled sedentary group, receiving no manipulation, and a control group exposed to a stationary treadmill. Female rats displayed shorter escape responses and higher number of avoidance responses, reaching criterion for performance earlier than male rats. In both sexes, exercise shortened escape latencies, increased the total number of avoidances and diminished the number of trials needed to reach criterion for performance. Those effects were greater during acquisition in female rats, but remained over the shuttle-box sessions in treadmill trained male rats. In females, exercise did not change ACTH and corticosterone levels after shuttle-box acquisition. Collectively, treadmill exercise improved active coping strategies in a sex-dependent manner. In a broader context, moderate exercise could serve as a therapeutic intervention for anxiety and mood disorders.