The aim of this study is to evaluate the effects of regular moderate exercise training initiated previously or after induction of diabetes mellitus on renal oxidative stress and inflammation in STZ-induced diabetic female rats. For this purpose, Wistar rats were divided into five groups: sedentary control (SC), trained control (TC), sedentary diabetic (SD), trained diabetic (TD), and previously trained diabetic (PTD). Only the PTD group was submitted to treadmill running for 4 weeks previously to DM induction with streptozotocin (40 mg/kg, i.v). After confirming diabetes, the PTD, TD, and TC groups were submitted to eight weeks of exercise training. At the end of the training protocol, we evaluated the following: glycosuria, body weight gain, plasma, renal and urinary levels of nitric oxide and thiobarbituric acid reactive substances, renal glutathione, and immunolocalization of lymphocytes, macrophages, and nuclear factor-kappa B (NF-κB/p65) in the renal cortex. The results showed that exercise training reduced glycosuria, renal TBARS levels, and the number of immune cells in the renal tissue of the TD and PTD groups. Of note, only previous exercise increased weight gain and urinary/renal NO levels and reduced NF-κB (p65) immunostaining in the renal cortex of the PTD group. In conclusion, our study shows that exercise training, especially when initiated previously to diabetes induction, promotes protective effects in diabetic kidney by reduction of renal oxidative stress and inflammation markers in female Wistar rats.