The combination of social and environmental stressors significantly influences psychological and physical health in males and females, and contributes to both depression and cardiovascular diseases. Animal models support these findings. Voluntary exercise may protect against some forms of stress; however, the protective effects of exercise against social stressors require further investigation. This study evaluated the influence of exercise on the impact of combined social and environmental stressors in socially monogamous prairie voles. Following a period of social isolation plus additional chronic environmental stress, prairie voles were either allowed access to a running wheel in a larger cage for 2 weeks or remained in sedentary conditions. A behavioral stress task was conducted prior to and following exercise or sedentary conditions. Heart rate (HR) and HR variability were evaluated after exercise or sedentary conditions. Group‐based analyses indicated that exercise prevented elevated resting HR and promoted autonomic control of the heart. Exercise was also effective against social and environmental stress‐induced forced swim test immobility. Some minor sex differences in behavior were observed in response to exercise intensity. This research informs our understanding of the protective influence of physical exercise against social and environmental stressors in male and female humans.