Exercise has widely documented cardioprotective effects, but the mechanisms behind these effects are still poorly understood. Here, we test the hypothesis that aerobic training lowers cardiovascular sympathetic responses to and speeds recovery from challenge. We conducted a randomized, controlled trial contrasting aerobic versus strength training on indices of cardiac (pre‐ejection period, PEP) and vascular (low‐frequency blood pressure variability, LF‐BPV) sympathetic responses to and recovery from psychological and orthostatic challenge in 149 young, healthy, sedentary adults. Aerobic and strength training did not alter PEP or LF‐BPV reactivity to or recovery from challenge. These findings, from a large randomized, controlled trial using an intent‐to‐treat design, show that moderate aerobic exercise training has no effect on PEP and LF‐BPV reactivity to or recovery from psychological or orthostatic challenge. In healthy young adults, the cardioprotective effects of exercise training are unlikely to be mediated by changes in sympathetic activity.