The objective of this study is to evaluate the effects of a diet with goat milk fat supplemented with physical training on markers of oxidative stress in the brain and anxiety behavior in rats. Adult male rats were randomly divided into six groups (n = 10 per group): control sedentary (CON) and exercised (CON-EX) groups, goat milk fat sedentary (GM) and exercised (GM-EX) groups, goat milk fat enriched with CLA sedentary (GM-CLA) and exercised (GM-CLA-EX) groups. The exercised groups were submitted to treadmill running during four weeks. Anxiety parameters were evaluated with the open field (OF) and elevated plus maze (EPM) tests. Malondialdehyde (MDA) and glutathione (GSH) levels were measured in the brain. Compared to the CON and GM groups, the GM-CLA group (p < 0.05), in which the animals were treated with goat milk fat with an increased CLA content, showed higher rearing. All exercised animals presented an increase in grooming when compared to sedentary animals. The number of entries in the open arms and time spent in the open arms was higher in sedentary groups (p < 0.05). MDA levels in the brain were lower in the GM group when compared to those in the CON group (p < 0.05). MDA increased in exercised animals (p < 0.05). GM and GM-CLA groups showed a significant elevation in the GSH levels in the brain. Goat milk fat, however, showed a potential effect on the reduction of oxidative stress, which was associated with a reduction in anxiety behavior. However, this beneficial effect was reversed when exercise was involved.