Objective: Virgin coconut oil (CO) and treadmill exercise have been reported to improve memory performance in young rats. CO has also been associated with antistress properties in young, stressed mice. Therefore, in this study we aimed to investigate whether CO and treadmill exercise could synergistically ameliorate the effects of chronic stress on anxiety-like behavior and episodic-like memory in young rats. Methods: The rats received CO and were exercised (Ex) from the 15^th to the 45^th day of life. The animals were supplemented with CO (10 mL kg⁻¹ day⁻¹) or a vehicle (V, distilled water and 0.009% Cremophor) via oral gavage. The Ex animals were placed for 30 min day⁻¹ on a treadmill, with the speed gradually increasing from the first week to the last. From the 46^th to the 54^th postnatal day, with the exception of the 51^st and the 52^nd day, all rats were subjected to restraint stress. Afterwards, all rats underwent the open-field test to evaluate locomotor activity and anxiety-like behavior. To evaluate episodic-like memory, all animals underwent tests to recognize object identity and special location. Lastly, lipid profile and murinometric parameters were evaluated. Results: A two-way ANOVA test followed by a Tukey test demonstrated that the CO&Ex group explored more of the unprotected central area of the OFT (27.04 ± 4.03 s, p < 0.01), when compared to the control group (15.36 ± 2.54 s). CO&Ex spent more time exploring the novel location of the object (71.62 ± 3.04%, p < 0.01), when compared to the control group (58.62 ± 2.48%). Discussion: CO and exercise during lactation can ameliorate the effects of stress on anxiety-like behavior and episodic-like memory in young rats.