Adolescence is a period of high vulnerability for alcohol use and abuse. Early alcohol use has been shown to increase the risk for alcohol-related problems later in life; therefore effective preventive treatments targeted toward adolescents would be very valuable. Many epidemiological and longitudinal studies in humans have revealed the beneficial effects of exercise for prevention and treatment of alcohol addiction. Pre-clinical studies have demonstrated that access to a running wheel leads to decreased voluntary alcohol consumption in adult mice, hamsters, and rats. However, age and sex may also influence the effects of exercise on alcohol use. Herein, we studied male and female C57BL/6 adolescent mice using a 24-hour two-bottle choice paradigm to evaluate 21 days of concurrent voluntary exercise on alcohol consumption and preference. Given previously known effects of exercise in increasing the expression of brain-derived neurotrophic factor (BDNF) in the hippocampus and its role in regulating the reward system, BDNF mRNA and protein levels were measured at the end of the behavioral experiment. Our results demonstrate sex differences in the efficacy of voluntary exercise and its effects on decreasing alcohol consumption and preference. We also report increased BDNF expression after 21 days of voluntary exercise in both male and female mice. Interestingly, the distance traveled played an important role in alcohol consumption and preference in female mice but not in male mice. Overall, this study demonstrates sex differences in the effects of voluntary exercise on alcohol consumption in adolescent mice and points out the importance of distance traveled as a limiting factor to the beneficial effects of wheel running in female mice.