Physical exercise is known to induce oxidative stress leading to the generation of free radicals. This increased generation of free radicals might lead to lipid peroxidation and tissue damage, more so under deficient/impaired antioxidant states. In the present study, we report the role of vitamin E and selenium (Se) during exercise-induced oxidative stress in the pulmonary tissue. Vitamin E and/or Se deficiency in female albino rats resulted in generation of free radicals as revealed by electron spin resonance (ESR) spectra in the lung tissue, indicating the onset of oxidative stress. When these animals were subjected to a single bout of exhaustive exercise, there was an additional increase in the generation of oxy-free radicals, which might lead to tissue damage. However, no such signals were recorded in the lung tissue of vitamin E- and Se-supplemented animals, when subjected to a similar exercise program, suggesting that protection is offered by vitamin E and Se in combating oxidative stress.