Stress exacerbates several physical and psychological disorders. Voluntary exercise can reduce susceptibility to many of these stress-associated disorders. In rodents, voluntary exercise can reduce hypothalamic-pituitary-adrenocortical (HPA) axis activity in response to various stressors as well as upregulate several brain neurotrophins. An important issue regarding voluntary exercise is whether its effect on the reduction of HPA axis activation in response to stress is due to the physical activity itself or simply the enhanced environmental complexity provided by the running wheels. The present study compared the effects of physical activity and environmental complexity (that did not increase physical activity) on HPA axis habituation to repeated stress and modulation of brain neurotrophin mRNA expression. For six weeks, male rats were given free access to running wheels (exercise group), given 4 objects that were repeatedly exchanged (increased environmental complexity group), or housed in standard cages. On week 7, animals were exposed to 11 consecutive daily 30-min sessions of 98-dBA noise. Plasma corticosterone and adrenocorticotropic hormone were measured from blood collected directly after noise exposures. Tissue, including brains, thymi, and adrenal glands was collected on Day 11. Although rats in both the exercise and enhanced environmental complexity groups expressed higher levels of BDNF and NGF mRNA in several brain regions, only exercise animals showed quicker glucocorticoid habituation to repeated audiogenic stress. These results suggest that voluntary exercise, independent from other environmental manipulations, accounts for the reduction in susceptibility to stress.