This study investigated whether exercise training could prevent the negative side effects of dexamethasone. Rats underwent a training period and were either submitted to a running protocol (60% physical capacity, 5 days/week for 8 weeks) or kept sedentary. After this training period, the animals underwent dexamethasone treatment (1 mg/kg per day, i.p., 10 days). Glycemia, insulinemia, muscular weight and muscular glycogen were measured from blood and skeletal muscle. Vascular endothelial growth factor (VEGF) protein was analyzed in skeletal muscles. Dexamethasone treatment evoked body weight loss (-24%), followed by muscular atrophy in the tibialis anterior (-25%) and the extensor digitorum longus (EDL, -15%). Dexamethasone also increased serum insulin levels by 5.7-fold and glucose levels by 2.5-fold compared to control. The exercise protocol prevented atrophy of the EDL and insulin resistance. Also, dexamethasone-treated rats showed decreased muscular glycogen (-41%), which was further attenuated by the exercise protocol. The VEGF protein expression decreased in the skeletal muscles of dexamethasone-treated rats and was unaltered by the exercise protocol. These data suggest that exercise attenuates hyperglycemia and may also prevent insulin resistance, muscular glycogen loss and muscular atrophy, thus suggesting that exercise may have some benefits during glucocorticoid treatment.