While animal research has consistently reported preventive effects of exercise against drug abuse vulnerability, little is known about the influence of the developmental stage during which exercise is displayed on addictive drugs responsiveness. This study aimed to determine whether prenatal exercise could attenuate acute cocaine reactivity and psychomotor sensitization in youth offspring. We used a split-plot factorial design where C57BL/6 J females were randomly assigned into sedentary or exercised (wheel-running) conditions before and during gestation, the wheels being removed on gestational day 18. Offspring were weaned, gendered and individually housed on 24–28 days old. At 38–42 days old, they were tested for their acute psychomotor responsiveness to 8 mg/kg cocaine and their initiation of sensitization over 8 additional once-daily administrations, the long-term expression of sensitization occurring 30 days later. Adolescent females born from exercised mothers were much less responsive to the acute psychomotor-stimulating effect of cocaine than those born from sedentary mothers (d = 0.75, p = 0.02), whereas there was no evidence for such a difference in males (d = 0.34, p = 0.17). However, we did not find sizeable attenuating effects of prenatal exercise on the initiation and the long-term expression of the psychomotor-activating effect of cocaine, in either sex (Cohen’s ds varying from −0.13 to 0.39). These results suggest that prenatal exercise may induce initial protection against cocaine responsiveness in youth females, a finding that warrants further research.