Previous studies have shown that exposure to social defeat (SD), a model of social stress, produces a long-term increase in the consumption of ethanol, most likely through an increase in the neuroinflammation response. The aim of the present study was to evaluate whether exposure to physical activity in the form of voluntary wheel running (VWR) could block the increase in ethanol consumption and the neuroinflammatory response induced by social stress. Mice were exposed to either 4 sessions of repeated social defeat (RSD) or a non-stressful experience. During the whole procedure, half of the mice were exposed to controlled physical activity, being allowed 1 h access to a low-profile running wheel three times a week. Three weeks after the last RSD, animals started the oral self-administration (SA) of ethanol (6% EtOH) procedure. Biological samples were taken four hours after the first and the fourth RSD, 3 weeks after the last RSD, and after the SA procedure. Brain tissue (striatum) was used to determine protein levels of the chemokines fractalkine (CX3CL1) and SDF-1 (CXCL12). RSD induced an increase in ethanol consumption and caused greater motivation to obtain ethanol. The striatal levels of CX3CL1 and CXCL12 were also increased after the last RSD. VWR was able to reverse the increase in ethanol intake induced by social stress and the neuroinflammatory response. In conclusion, our results suggest that VWR could be a promising tool to prevent and reduce the detrimental effects induced by social stress.