The aim of this study was to investigate the difference between sexes after 8 weeks of aerobic exercise training on cardiovascular autonomic modulation and oxidative stress. Wistar rats were distributed into (n = 8/group): sedentary male (SM), trained male (TM), sedentary female (SF) and trained female (TF). Arterial pressure (AP) signals were directly recorded. Cardiovascular autonomic modulation was evaluated by spectral analysis. Aerobic exercise training was performed on treadmill (5 days/wk; 8 wks). Oxidative stress was evaluated on cardiac and renal tissues. Both trained groups presented bradycardia. Exercise training increased heart rate variability (VAR-PI) and decreased cardiac sympathovagal balance in both sexes. Although, no differences observed in AP, the female groups showed a lower vascular sympathetic modulation than the male groups. There was a positive correlation between vascular sympathetic modulation and renal membrane lipid peroxidation (LPO) (r = 0.6, p < 0.01). LPO in cardiac tissue was reduced in the TM, SF and TF groups when compared to the SM group and it was correlated with cardiac sympathetic modulation (r = 0.6, p < 0.01). Only the TF group presented AP variability and renal LPO decreased and cardiac glutathione redox balance (GSH/GSSG) improved when compared to the other groups. Moreover, the trained females showed greater improvement on VAR-PI (~ 1.8 times), on cardiac and renal antioxidant capacity (TRAP: ~2,1 and ~ 1.5 times, respectively), and on cardiac GSSG (~ 2.8 times) than the trained males. In conclusion, female rats showed additional aerobic exercise training induced-cardiovascular autonomic modulation and target organs oxidative stress profile improvement than male rats.