Key points Vascular brain lesions and atherosclerosis are two similar conditions that are characterized by increased inflammation and oxidative stress. Non‐invasive imaging in a murine model of atherosclerosis showed vascular brain damage and peripheral inflammation. In this study, exercise training reduced magnetic resonance imaging‐detected abnormalities, insulin resistance and markers of oxidative stress and inflammation in old ApoE−/− mice. Our results demonstrate the protective effect of exercise on neurovascular damage in the ageing brain of ApoE−/− mice. Abstract Vascular brain lesions, present in advanced atherosclerosis, share pathological hallmarks with peripheral vascular lesions, such as increased inflammation and oxidative stress. Physical activity reduces these peripheral risk factors, but its cerebrovascular effect is less documented, especially by non‐invasive imaging. Through a combination of in vivo and post‐mortem techniques, we aimed to characterize vascular brain damage in old ApoE−/− mice fed a high‐cholesterol (HC) diet with dietary controlled intake. We then sought to determine the beneficial effects of exercise training on oxidative stress and inflammation in the brain as a treatment option in an ageing atherosclerosis mouse model. Using in vivo magnetic resonance imaging (MRI) and biological markers of oxidative stress and inflammation, we evaluated the occurrence of vascular abnormalities in the brain of HC‐diet fed ApoE−/− mice >70 weeks old, its association with local and systemic oxidative stress and inflammation, and whether both can be modulated by exercise. Exercise training significantly reduced both MRI‐detected abnormalities (present in 71% of untrained vs. 14% of trained mice) and oxidative stress (lipid peroxidation, 9.1 ± 1.4 vs. 5.2 ± 0.9 μmol mg−1; P < 0.01) and inflammation (interleukin‐1β, 226.8 ± 27.1 vs. 182.5 ± 21.5 pg mg−1; P < 0.05) in the brain, and the mortality rate. Exercise also decreased peripheral insulin resistance, oxidative stress and inflammation, but significant associations were seen only within brain markers. Highly localized vascular brain damage is a frequent finding in this ageing atherosclerosis model, and exercise is able to reduce this outcome and improve lifespan. In vivo MRI evaluated both the neurovascular damage and the protective effect of exercise.