The hypothesis that oral supplementation with virgin coconut oil (Cocos nucifera L.) and exercise training would improve impaired baroreflex sensitivity (BRS) and reduce oxidative stress in spontaneously hypertensive rats (SHR) was tested. Adult male SHR and Wistar Kyoto rats (WKY) were divided into 5 groups: WKY + saline (n = 8); SHR + saline (n = 8); SHR + coconut oil (2 mL·day(-1), n = 8); SHR + trained (n = 8); and SHR + trained + coconut oil (n = 8). Mean arterial pressure (MAP) was recorded and BRS was tested using phenylephrine (8 μg/kg, intravenous) and sodium nitroprusside (25 μg·kg(-1), intravenous). Oxidative stress was measured using dihydroethidium in heart and aorta. SHR + saline, SHR + coconut oil, and SHR + trained group showed higher MAP compared with WKY + saline (175 ± 6, 148 ± 6, 147 ± 7 vs. 113 ± 2 mm Hg; p < 0.05). SHR + coconut oil, SHR + trained group, and SHR + trained + coconut oil groups presented lower MAP compared with SHR + saline group (148 ± 6, 147 ± 7, 134 ± 8 vs. 175 ± 6 mm Hg; p < 0.05). Coconut oil combined with exercise training improved BRS in SHR compared with SHR + saline group (-2.47 ± 0.3 vs. -1.39 ± 0.09 beats·min(-1)·mm Hg(-1); p < 0.05). SHR + saline group showed higher superoxide levels when compared with WKY + saline (774 ± 31 vs. 634 ± 19 arbitrary units (AU), respectively; p < 0.05). SHR + trained + coconut oil group presented reduced oxidative stress compared with SHR + saline in heart (622 ± 16 vs. 774 ± 31 AU, p < 0.05). In aorta, coconut oil reduced oxidative stress in SHR compared with SHR + saline group (454 ± 33 vs. 689 ± 29 AU, p < 0.05). Oral supplementation with coconut oil combined with exercise training improved impaired BRS and reduced oxidative stress in SHR.