It has been proposed that animals subjected to chronic stress show a stress response that can be reduced by the intake of highly palatable foods (“comfort foods”). However, a palatable diet, rich in sugar or fat, can also lead to oxidative damage and neuronal injury. So, the aim of this study is to verify, in male and female rats, the effects of exposure to chronic stress during free access to regular chow and to a highly palatable diet, on exploratory and anxiety-like behavior, on oxidative stress and on DNA breaks in two structures of the nervous system, hippocampus and striatum. The results showed stress- and diet-induced DNA breaks and an imbalance in the activity of antioxidants enzymes, such as CAT, GPx and SOD in the both structures. In addition, we observed that female rats appear to have higher susceptibility to the stress effects evaluated, and that access to a palatable diet was able to counteract some behavioral effects of stress. However, this same diet-induced oxidative stress and increased DNA breaks, especially in males. Replication of these results with larger sample sizes would further reinforce these conclusions.