Regular physical activity is beneficial in preventing the risk of cardiovascular complications of diabetes. Recent studies showed a cardioprotective role of oxytocin (OT) to induce natriuretic peptides (NPs) and nitric oxide (NO) release. It is not known if the diabetic state is associated with a reduced OT–NPs–NO system and if exercise training improves this system. To address this, we investigated the effects of treadmill running using the db/db mouse model of type 2 diabetes. Eight‐week‐old db/db mice were subjected to running 5 days per week for a period of 8 weeks. The lean db/+ littermates were used as controls. Sedentary db/db mice were obese and hyperglycaemic, and exercise training was not effective in reducing body weight and the hyperglycaemic state. Compared to control mice, db/db mice had lower heart weight and heart‐to‐body weight ratios. In these mice, this was associated with augmented cardiac apoptosis, cardiomyocyte enlargement and collagen deposits. In addition, db/db mice displayed significant downregulation in gene expression of OT (76%), OT receptors (65%), atrial NP (ANP; 43%), brain NP (BNP; 87%) and endothelial nitric oxide synthase (eNOS) (54%) in the heart (P < 0.05). Exercise training had no effect on expression of these genes which were stimulated in control mice. In response to exercise training, the significant increment of anti‐apoptotic Bcl‐2 gene expression was observed only in control mice (P < 0.05). In conclusion, downregulation of the OT–NPs–NO system occurs in the heart of the young db/db mouse. Exercise training was not effective in reversing the defect, suggesting impairment of this cardiac protective system in diabetes.