The potential of behavioral stress to affect epigenetic mechanisms of non-encephalic tissues is still underestimated. In the present study we evaluated the effects of chronic behavioral stress on the DNA methylation profile of rat lung cells. Furthermore, we evaluated the potential of physical exercise to modulate the changes evoked by behavioral stress in lung cells. Male Wistar rats were divided into four experimental groups: (1) animals submitted to chronic restraint stress (CRS) (ST group) during the period of the 67th-80th postnatal day (PND); (2) animals submitted to physical exercise (EX group) during the 53rd-79th PND; (3) animals submitted to swimming during the 53rd-79th PND and to CRS during the 67th-80th PND (EX-ST group); and (4) animals not submitted to stress or swimming protocols (CTL). Global DNA methylation was quantified using an ELISA-based approach and gene expression was evaluated by real time PCR. A decreased global DNA methylation profile was observed in the ST group, however physical exercise demonstrated protection of lung cells from this stress-related hypomethylation. Increased expression of the Dnmt1 gene was evidenced in the ST group, whereas physical exercise was shown to protect lung cells from this stress-related effect in the EX-ST group. Comparative analysis of the ST and EX groups revealed opposite effects on the expression of Dnmt3a and Dnmt3b; however, a stress-related increase in expression of Dnmt3a and Dnmt3b was not seen in the EX-ST group. Our data showed that behavioral stress induced significant changes in the DNA methylation profile of rat lung cells and that this could be modulated by physical exercise.