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Abstract Selective breeding has been utilized to study the genetic basis of exercise behavior, but research suggests that epigenetic mechanisms, such as DNA methylation, also contribute to this behavior. In a previous study, we demonstrated that the brains of mice from a genetically selected high runner (HR) line have sex‐specific changes in DNA methylation patterns in genes known to be genomically imprinted compared to those from a non‐selected control (C) line. Through cross‐fostering, we also found that maternal upbringing can modify the DNA methylation patterns of additional genes. Here, we identify an additional set of genes in which DNA methylation patterns and gene expression may be altered by selection for increased wheel‐running activity and maternal upbringing. We performed bisulfite sequencing and gene expression assays of 14 genes in the brain and found alterations in DNA methylation and gene expression forBdnf,Pde4dandGrin2b. Decreases inBdnfmethylation correlated with significant increases inBdnfgene expression in the hippocampus of HR compared to C mice. Cross‐fostering also influenced the DNA methylation patterns forPde4din the cortex andGrin2bin the hippocampus, with associated changes in gene expression. We also found that the DNA methylation patterns forAtrxandOxtrin the cortex andAtrxandBdnfin the hippocampus were further modified by sex. Together with our previous study, these results suggest that DNA methylation and the resulting change in gene expression may interact with early‐life influences to shape adult exercise behavior.