Despite mortality from heart disease has been decreasing, the decline in death in women remains lower than in men. Hypertension (HT) is a major risk factor for cardiovascular disease. Therefore, approaches to prevent or delay the onset of HT would be valuable in women. Given this background, we investigated the effect of diet and exercise training on blood pressure (BP) and autonomic modulation in women with prehypertension (PHT). Ten women with PHT (39 ± 6 years, mean ± standard deviation) and ten with normotension (NT) (35 ± 11 years) underwent diet and exercise training for 12 weeks. Autonomic modulation was assessed through heart rate (HR) and systolic BP (SBP) variability, using time and frequency domain analyses. At preintervention, women with PHT had higher SBP (PHT: 128 ± 7 vs. NT: 111 ± 6 mmHg, p < 0.05) and lower HR variability [standard deviation of normal-to-normal beats (SDNN), PHT: 41 ± 18 vs. NT: 60 ± 19 ms, p < 0.05]. At post-intervention, peak oxygen consumption and muscular strength increased (p < 0.05), while body mass index decreased in both groups (p < 0.05). However, SBP decreased (118 ± 8 mmHg, p < 0.05 vs. preintervention) and total HR variability tended to increase (total power: 1,397 ± 570 vs. 2,137 ± 1,110 ms(2), p = 0.08) only in the group with PHT; consequently, HR variability became similar between groups at post-intervention (p > 0.05). Moreover, reduction in SBP was associated with augmentation in SDNN (r = -0.46, p < 0.05) and reduction in low-frequency power [LF (n.u.); r = 0.46, p < 0.05]. In conclusion, diet and exercise training reduced SBP in women with PHT, and this was associated with augmentation in parasympathetic and probably reduction in sympathetic cardiac modulation.