Aim Physical exercise prevents cardiovascular risk and atherosclerosis lesions. However, the molecular aspects are still unknown. Vascular Peroxisome Proliferator‐Activated Receptors (PPARs) exert anti‐atherogenic effects. The aim of this study was to determine whether exercise‐induced anti‐atherosclerotic effect is associated with change in PPARs vascular expression in apolipoprotein E deficient (ApoE‐/‐) mice. Methods Male ApoE‐/‐ mice were fed with a high fat diet and randomized into two groups: one trained group undergoing swimming training for 3 months, and one sedentary group. Sedentary and trained C57BL/6J mice were used as control. PPAR‐α, ‐β/δ and ‐γ mRNA were measured in aorta by quantitative PCR. Pro‐ (TNF‐α, IL‐1β) and anti‐inflammatory (IL‐10, IL‐1Ra) cytokines mRNA were also measured. Results Atherosclerotic lesion size was significantly reduced in trained ApoE‐/‐ mice compared to sedentary ones. In contrast, reduction of atherosclerotic lesion size was not observed in trained ApoE‐/‐ mice supplied with BADGE, an antagonist of PPAR‐ γ. Exercise training significantly increased PPAR‐γ expression in aorta. PPAR‐γ expression was inversely correlated with the atherosclerotic plaque area. Aortic PPAR‐α and ‐β/δ mRNA expression were not changed in response to exercise training. Atherosclerosis increased the aortic mRNA expression of TNF‐α, IL‐1β, IL‐10, and IL‐1Ra. Exercise training decreased aortic IL‐1β mRNA expression in ApoE‐/‐ mice, but did not change expression of TNF‐α, IL‐10, and IL‐1Ra. IL‐1β mRNA expression was also significantly lower in atherosclerosis lesions from trained ApoE‐/‐ compared with those from sedentary ones. Conclusions Exercise training increases vascular PPAR‐γ expression in ApoE‐/‐ mice that could potentially underlie training‐related beneficial effects on atherosclerosis. This article is protected by copyright. All rights reserved.