The association between physical exercise and oxidative damage in the skeletal musculature has been the focus of many studies in literature, but the balance between superoxide dismutase and catalase activities and its relation to oxidative damage is not well established. Thus, the aim of the present study was to investigate the association between regular treadmill physical exercise, oxidative damage and antioxidant defenses in skeletal muscle of rats. Fifteen male Wistar rats (8–12 months) were randomly separated into two groups (trained n = 9 and untrained n = 6). Trained rats were treadmill-trained for 12 weeks in progressive exercise (velocity, time, and inclination). Training program consisted in a progressive exercise (10 m/min without inclination for 10 min/day). After 1 week the speed, time and inclination were gradually increased until 17 m/min at 10% for 50 min/day. After the training period animals were killed, and gastrocnemius and quadriceps were surgically removed to the determination of biochemical parameters. Lipid peroxidation, protein oxidative damage, catalase, superoxide dismutase and citrate synthase activities, and muscular glycogen content were measured in the isolated muscles. We demonstrated that there is a different modulation of CAT and SOD in skeletal muscle in trained rats when compared to untrained rats (increased SOD/CAT ratio). TBARS levels were significantly decreased and, in contrast, a significant increase in protein carbonylation was observed. These results suggest a non-described adaptation of skeletal muscle against exercise-induced oxidative stress.