There are conflicts between the effects of free radical over-production induced by exercise on neurotrophins and brain oxidative metabolism. The objective of this study was to investigate the effects of intense physical training on brain-derived neurotrophic factor (BDNF) levels, COX activity, and lipoperoxidation levels in mice brain cortex. Twenty-seven adult male CF1 mice were assigned to three groups: control untrained, intermittent treadmill exercise (3 x 15 min/day) and continuous treadmill exercise (45 min/day). Training significantly (P < 0.05) increased citrate synthase activity when compared to untrained control. Blood lactate levels classified the exercise as high intensity. The intermittent training significantly (P < 0.05) reduced in 6.5% the brain cortex COX activity when compared to the control group. BDNF levels significantly (P < 0.05) decreased in both exercise groups. Besides, continuous and intermittent exercise groups significantly (P < 0.05) increased thiobarbituric acid reactive species levels in the brain cortex. In summary, intense exercise promoted brain mitochondrial dysfunction due to decreased BDNF levels in the frontal cortex of mice.