Exercise increases resistance against stress-related disorders such as anxiety and depression. Similarly, the perception of control is a powerful predictor of neurochemical and behavioral responses to stress, but whether the experience of choosing to exercise, and exerting control over that exercise, is a critical factor in producing exercise-induced stress resistance is unknown. The current studies investigated whether the protective effects of exercise against the anxiety- and depression-like consequences of stress are dependent on exercise controllability and a brain region implicated in the protective effects of controllable experiences, the medial prefrontal cortex. Adult male Fischer 344 rats remained sedentary, were forced to run on treadmills or motorised running wheels, or had voluntary access to wheels for 6 weeks. Three weeks after exercise onset, rats received sham surgery or excitotoxic lesions of the medial prefrontal cortex. Rats were exposed to home cage or uncontrollable tail shock treatment three weeks later. Shock-elicited fear conditioning and shuttle box escape testing occurred the next day. Both forced and voluntary wheel running, but not treadmill training, prevented the exaggerated fear conditioning and interference with escape learning produced by uncontrollable stress. Lesions of the medial prefrontal cortex failed to eliminate the protective effects of forced or voluntary wheel running. These data suggest that exercise controllability and the medial prefrontal cortex are not critical factors in conferring the protective effects of exercise against the affective consequences of stressor exposure, and imply that exercise perceived as forced may still benefit affect and mental health.