Exercise is an effective approach for primary and secondary prevention of cardiovascular diseases (CVD) and loss of muscular mass and function. Its benefits are widely documented but incompletely characterized. It has been reported that exercise can induce changes in the expression of antioxidant enzymes including Sod2, Trx1, Prdx3 and Gpx1 and limits the rise in oxidative stress commonly associated with CVD. These enzymes can be subjected to epigenetic regulation, such as DNA methylation, in response to environmental cues. The aim of our study was to determine whether in the early stages of atherogenesis, in young severely dyslipidemic mice lacking LDL receptors and overexpressing human ApoB100 (LDLR-/-; hApoB+/+), exercise regulates differentially the expression of antioxidant enzymes by DNA methylation in the skeletal muscles that consume high levels of oxygen and thus generate high levels of reactive oxygen species. Expression of Sod2, Txr1, Prdx3 and Gpx1 was altered by 3 months of exercise and/or severe dyslipidemia in 6-mo dyslipidemic mice. Of these genes, only Gpx1 exhibited changes in DNA methylation associated with dyslipidemia and exercise: we observed both increased DNA methylation with dyslipidemia and a transient decrease in DNA methylation with exercise. These epigenetic alterations are found in the second exon of the Gpx1 gene and occur alongside with inverse changes in mRNA expression. Inhibition of expression by methylation of this specific locus was confirmed in vitro. In conclusion, Gpx1 expression in the mouse skeletal muscle can be altered by both exercise and dyslipidemia through changes in DNA methylation, leading to a fine regulation of free radical metabolism.