Physical activity has been used in cancer prevention and treatment. In this study, we investigated some of the mechanisms by which anaerobic exercise reduces tumor growth. To do so, rats were trained for 8 weeks. Training consisted of jumping in a swimming pool for ten 30-s sets, with a load that was 50% of body weight attached to the back, 4 times per week. At the sixth week, anaerobic exercise trained rats (EX group) were inoculated with a suspension of Walker 256 tumor cells. Tumor weight, apoptotic tumor cells, tumor Bax and Bcl-2 protein expression, tumor lipid peroxidation, and tumor cell proliferation ex vivo were evaluated. Tumor weight was significantly lower in the EX group (∼30%) than in rats that did not undergo training (sedentary group) (p < 0.05). Apoptosis in the tumor cells of EX rats was 2-fold higher than in the tumor cells of sedentary rats; in addition, Bax expression increased by 10% and Bcl-2 decreased by 13% in EX rats. Lipid peroxidation was 4-fold higher in the tumor cells of EX rats than in those of sedentary rats (p < 0.05). Tumor cell proliferation ex vivo was 29% lower in the EX group than in the sedentary group (p < 0.05). In conclusion, Walker 256 tumor-bearing exercised rats presented more tumor cell apoptosis, a higher tumor content of lipid peroxides, pro-apoptotic protein expression balance, and reduced tumor weight and cell proliferation ex vivo, compared with sedentary rats. These events, together, account for the lower tumor growth we observed in the EX rats.