Aim We aimed to evaluate whether the streptozotocin‐induced diabetic model can generate lung functional, histological and biochemical impairments and whether moderate exercise can prevent these changes. Methods Wistar rats were assigned to control (CTRL), exercise (EXE), diabetic (D) and diabetic with exercise (D+EXE) groups. We used the n5‐STZ model of diabetes mellitus triggered by a single injection of streptozotocin (STZ, 120 mg/kg b.w., i.p.) in newborn rats on their 5th day of life. EXE and D+EXE rats were trained by running on a motorized treadmill, 5 days a week for 9 weeks. Blood glucose, body weight, food intake, exercise capacity, lung mechanics, morphology, and antioxidant enzymatic activity were analysed. Results On the 14th week of life, diabetic rats exhibited a significant impairment in post‐prandial glycaemia, glucose tolerance, body weight, food intake, lung function (tissue viscance, elastance, Newtonian resistance and hysteresis), morphological parameters, redox balance and exercise capacity. Physical training completely prevented the diabetes‐induced alterations, except for those on fasting blood glucose, which nevertheless remained stable. Conclusions Mild diabetes in n5‐STZ‐treated rats jeopardized pulmonary mechanics, morphology and redox balance, which confirms the occurrence of diabetes‐induced pneumopathy. Moreover, moderate exercise completely prevented all diabetes‐induced respiratory alterations.