We consider extremal problems for subgraphs of pseudorandom graphs. For graphs $F$ and $\Gamma$ the generalized Tur\'an density $\pi_F(\Gamma)$ denotes the density of a maximum subgraph of $\Gamma$, which contains no copy of~$F$. Extending classical Tur\'an type results for odd cycles, we show that $\pi_{F}(\Gamma)=1/2$ provided $F$ is an odd cycle and $\Gamma$ is a sufficiently pseudorandom graph. In particular, for $(n,d,\lambda)$-graphs $\Gamma$, i.e., $n$-vertex, $d$-regular graphs with all non-trivial eigenvalues in the interval $[-\lambda,\lambda]$, our result holds for odd cycles of length $\ell$, provided \[ \lambda^{\ell-2}\ll \frac{d^{\ell-1}}n\log(n)^{-(\ell-2)(\ell-3)}\,. \] Up to the polylog-factor this verifies a conjecture of Krivelevich, Lee, and Sudakov. For triangles the condition is best possible and was proven previously by Sudakov, Szab\'o, and Vu, who addressed the case when $F$ is a complete graph. A construction of Alon and Kahale (based on an earlier construction of Alon for triangle-free $(n,d,\lambda)$-graphs) shows that our assumption on $\Gamma$ is best possible up to the polylog-factor for every odd $\ell\geq 5$.
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