Sepsis is a generalized infection that involves alterations in inflammatory parameters, oxidant status, and purinergic signaling in many tissues. Physical exercise has emerged as a tool to prevent this disease because of its anti-inflammatory and antioxidant properties. Thus, in this study, we investigated the effects of physical exercise on preventing alterations in purinergic system components, oxidative stress, and inflammatory parameters in lipopolysaccharide (LPS)-induced sepsis in rats. Male Wistar rats were divided into four groups: control, exercise (EX), LPS, and EX+LPS. The resisted physical exercise was performed for 12 weeks on a ladder with 1 m height. After 72 hours of the last exercise session, the animals received 2.5 mg/kg of LPS for induction of sepsis, and after 24 hours, lungs and blood samples were collected for analysis. The results showed that the exercise protocol used was able to prevent, in septic animals: (1) the increase in body temperature; (2) the increase of lipid peroxidation and reactive species levels in the lung, (3) the increase in adenosine triphosphate levels in serum; (4) the change in the activity of the enzymes ectonucleotidases in lymphocytes, partially; (5) the change in the density of purinergic enzymes and receptors in the lung, and (6) the increase of IL-6 and IL-1β gene expression. Our results revealed the involvement of purinergic signaling and oxidative damage in the mechanisms by which exercise prevents sepsis aggravations. Therefore, the regular practice of physical exercise is encouraged as a better way to prepare the body against sepsis complications.