Exhausting exercise can disturb immune and gastrointestinal functions. Nevertheless, the impact of it on mucosal-associated lymphoid tissue has not been studied in depth. Here, we aim to establish the effects of an intensive training and exhausting exercise on the mucosal immunity of rats and to approach the mechanisms involved. Rats were submitted to a high-intensity training consisting of running in a treadmill 5 days per week for 5 weeks, involving 2 weekly exhaustion tests. At the end, samples were obtained before (T), immediately after (TE) and 24 h after (TE24) an additional final exhaustion test. The training programme reduced the salivary production of immunoglobulin A, impaired the tight junction proteins’ gene expression and modified the mesenteric lymph node lymphocyte composition and function, increasing the ratio between Tαβ+ and B lymphocytes, reducing their proliferation capacity and enhancing their interferon-γ secretion. As a consequence of the final exhaustion test, the caecal IgA content increased, while it impaired the gut zonula occludens expression and enhanced the interleukin-2 and interferon-γ secretion. Our results indicate that intensive training for 5 weeks followed or not by an additional exhaustion disrupts the mucosal-associated lymphoid tissue and the intestinal epithelial barrier integrity in rats.