To explore whether exercise is related to electroencephalogram (EEG) and heart rate changes, continuous EEG power spectral analysis was performed on rats during treadmill exercise. Compared with before exercise, treadmill exercise resulted promptly in a higher mean power frequency and theta (6-10 Hz) power of the EEG, but lower delta (0.5-4 Hz) power of the EEG together with a lower R-R interval of electrocardiogram. Such changes quickly reversed when the treadmill exercise was stopped. We conclude that the cerebral cortex activates along with the autonomic system during running. Our methodology offers an efficient way to study the interaction of cerebral and brain stem functions with exercise in the rat.