Experimental studies in animal models have described the benefits of physical exercise (PE) to kidney diseases associated with hypertension. Land- and water-based exercises induce different responses in renal function. Our aim was to evaluate the renal alterations induced by different environments of PE in spontaneously hypertensive rats (SHRs). The SHRs were divided into sedentary (S), swimming exercise (SE), and running exercise (RE) groups, and were trained for 8 weeks under similar intensities (60 min/day). Arterial pressure (AP) and heart rate (HR) were recorded. The renal function was evaluated through urinary volume at each week of training; sodium and potassium excretions, plasma and urinary osmolarities, glomerular filtration rate (GFR), levels of proteinuria, and renal damage were determined. SE and RE rats presented reduced mean AP, systolic blood pressure, and HR in comparison with S group. SE and RE rats showed higher urine osmolarity compared with S. SE rats showed higher free water clearance (P < 0.01), lower urinary density (P < 0.0001), and increased weekly urine volume (P < 0.05) in comparison with RE and S groups. GFR was increased in both SE and RE rats. The proteinuria of SE (7.0 ± 0.8 mg/24 h) rats was decreased at the 8th week of the PE in comparison with RE (9.6 ± 0.8 mg/24 h) and S (9.8 ± 0.5 mg/24 h) groups. The glomerulosclerosis was reduced in SE rats (P < 0.02). SE produced different response in renal function in comparison with RE, in which only swimming-trained rats had better profile for proteinuria and glomerulosclerosis.