This study examined the effect of whole oat consumption in the oxidative stress induced by exercise in rats. The activity of antioxidant enzymes (catalase [CAT] and glutathione peroxidase [GSH‐Px]), lipid peroxidation by the measurement of thiobarbituric acid reactive substances in blood and plasma and also the total antioxidants (Trolox equivalent antioxidant capacity) present in plasma were available. The animals submitted to a swimming exercise program for 15 days, which did not receive the oats, showed an increase in CAT level, while the animals that were fed the modified diet did not show the same increase. No differences were observed in GSH‐Px and lipid peroxidation between groups. Antioxidant capacity was higher in the plasma of animals that were fed with the modified diet. This study indicates that whole oat supplementation may be beneficial against the oxidative stress induced by exercise. Pratical applications Currently, many people have been ingesting polyphenolic dietary supplements in an attempt to avoid free radical damage which has been linked to the aging process and some degenerative diseases. Among other factors, these free radicals are produced in the body during physical exercise. This work demonstrates that the inclusion of whole oats in the diet can contribute to prevention of oxidative damage caused by acute exercise‐induced oxidative stress.