Autonomic dysfunction and sleep problems are closely associated with hypertension and predict cardiovascular morbidity and mortality. Animal studies and clinical observations have identified exercise as an important factor in preventing and treating hypertension. However, the roles of autonomic function and sleep in the antihypertensive mechanisms of exercise are still not fully understood. This study aimed to clarify the physiological mechanisms associated with autonomic function and sleep through wheel exercise. Male spontaneously hypertensive rats (SHRs) were grouped into a wheel-exercised group and a sedentary group (controls). Electroencephalogram, electromyogram, electrocardiogram, and mean arterial pressure (MAP) were recorded simultaneously for 24 h once a week over 11 weeks. Wheel exercise was initiated in the SHRs at 12 weeks old and continued for another eight weeks. A significant suppression in the age-related elevation of MAP was noted in the SHRs undergoing wheel exercise. The reduction in MAP was correlated with increased parasympathetic activity and baroreflex sensitivity and decreased sympathetic activity, mainly during quiet sleep. Exercise increased the paradoxical sleep time and theta power (associated with cognitive function) but not the delta power (an indicator of sleep depth) or the attenuation of circadian rhythm flattening (characterized by increased wakefulness and less sleep during the light period and the opposite during the dark period). Furthermore, the exercise-induced changes in autonomic function occurred before those in sleep patterns, which were dependent on each other. In conclusion, wheel exercise can modulate sleep-related cardiovascular dysfunction and the flattening of circadian rhythm, preventing the progression of hypertension, which reduces the incidence of cardiovascular diseases.