Stress exerts complex effects on the brain and periphery, dependent on the temporal profile and intensity of the stressor. The consequences of a stressful event can also be determined by other characteristics of the stressor, such as whether it is predictable and controllable. While the traditional view has focused primarily on the negative effects of stress on a variety of somatic systems, emerging data support the idea that certain forms of stress can enhance cellular function. Here we review the current literature on the hypothalamic-pituitary-adrenal (HPA) axis regulation by wheel running, a voluntary and controllable stressor with a distinct temporal profile. While running indeed activates a number of systems related to the stress response, other mechanisms exist to reduce the reactivity to this stressor, with possible crosstalk between running and other forms of stress.