It has been shown that exercise is helpful against brain disorders. However, this may not be true for intense exercise (IE). Since it is easy to misadjust exercise intensity with physical condition, it is essential to know the effects of IE on cognitive process, because it may have important consequences on people learning and work skills. We investigated the effects of IE on male C57Bl/6 mice, 3 month-old, undergoing 10-days of intense and exhaustive running program on cognition, and its possible relationship with brain oxidative stress. Cognition was evaluated by three different cognitive tests: passive avoidance task, contextual fear conditioning and tone fear conditioning, performed 24 h after the last exercise session. Brain oxidative stress was evaluated by lipid peroxidation and protein oxidation. There was a remarkable memory reduction of exercised animals in comparison with the control group, associated with increase in the brain oxidative stress, with no alterations in shock sensitivity, locomotion and anxiety parameters. Concurrent vitamin C and E supplementation fully prevented the memory decrement induced by IE, and partially recovered both the decreased the brain lipid peroxidation and the protein oxidation. In conclusion, IE-induced high index of brain oxidative stress, impairs memory in murine model, which was prevented by vitamin C and E supplementation.