Background: Stepping response may be considered the most important postural reaction to prevent a fall because it is the inability to respond effectively to a loss of balance that ultimately determines whether a fall occurs. However, very little has been studied on the effect of exercising on step execution behavior in the elderly. Objectives: To explore whether older persons who exercise regularly have faster voluntary stepping times than sedentary elderly persons. Additionally, we investigated the association between step execution behavior, self-reported physical function, and balance performance. Methods: Case-control study of 48 elderly adults aged 65–91 years who live independently in retirement homes. Participants were classified as 24 exercisers (reporting >2 exercise training activities/week) and 24 age- and gender-matched inactive elderly individuals (who do not exercise regularly). The Voluntary Step Execution Test was performed as a reaction time task while standing on a force platform under single-task and dual-task conditions. Step initiation phase, foot off time, foot contact time, preparatory, and swing phases were extracted from center of pressure and ground reaction force data. Self-reported function was examined using Late-Life Function and Disability Instrument; Berg Balance Test was also performed. Results: Exercisers had significantly faster voluntary step times in single-task condition (959 vs. 1,158 ms) but not during dual-task condition (1,170 vs. 1,303 ms). Exercisers had a significantly higher Berg Balance Test (53.7 ±3.6 vs. 49.8 ±5.3), consumed less medication (3.3 ±2.3 vs. 5.6 ±2.9), and their lower extremity function scores were higher (88.61 ±2.3 vs. 73.1 ±2.7) than those of inactive subjects. Conclusion: Exercising regularly protects from physical functioning loss in older persons and against a decrease in voluntary step execution times during single-task but not during dual-task conditions. Lack of specificity (dual-task exercises) during the training may be the cause of insignificant differences in dual-task stepping performance. Thus, adding dual-task training may improve dual-task performance in the elderly.