Air pollution has been identified as one of the main environmental risks to health. Since exercise training seems to act as an anti-inflammatory modulator, our hypothesis is that exercise training prevents damage to respiratory and cardiovascular function caused by diesel exhaust particle (DEP) exposure. This study aimed to evaluate whether aerobic exercise training prior to DEP exposure prevents inflammatory processes in the pulmonary and cardiovascular systems. Therefore, BALB/C male mice were or were not submitted to a 10-week exercise training protocol (5×/week, 1 h/d), and after four weeks, they were exposed to DEP in a chamber with 24 μg/m3 PM2.5 or filtered air. Heart rate variability, lung mechanics and bronchoalveolar lavage fluid, cytokines and polymorphonuclear cells in the lung parenchyma were evaluated. Exposure to DEPs reduced heart rate variability and the elastance of the respiratory system and increased the number of cells in bronchoalveolar lavage fluid, as well as macrophages, neutrophils and lymphocytes, the density of polymorphonuclear cells and the proportion of collagen fibres in the lung parenchyma. Additionally, DEP-exposed animals showed increased expression of IL-23 and IL-12p40 (proinflammatory cytokines) and inducible nitric oxide synthase. Exercise training avoided the increases in all these inflammatory parameters, except the elastance of the respiratory system, the amount of collagen fibres and the expression of inducible nitric oxide synthase. Additionally, trained animals showed increased expression of the anti-inflammatory cytokine IL-1ra. Although our data showed a reduction in proinflammatory markers and an increase in markers of the anti-inflammatory pathway, these changes were not sufficient to prevent damage to the lung and cardiovascular function induced by DEPs. Based on these data, we propose that aerobic exercise training prevents the lung inflammatory process induced by DEPs, although it was not sufficient to avoid chronic damage, such as a loss of lung function or cardiovascular events.