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ABSTRACT Objective: To analyze the value of a physical activity program on stress coping of the elderly. Methods: Intervention study with a group of 18 elderly people referred by the Geriatric Service of the Hospital das Clinicas of the Universidade de Sao Paulo, who attended a supervised exercise program, evaluated by the human activity profile and the coping questionnaire. Results: In the coping and functional performance scales, increased stress coping capacity and improvement of daily activities were found after exposure to a physical activity program. Conclusions: The practice of supervised and regular physical activity, combining aerobic, resistance, stretching, and respiratory exercises, yields positive effects in the coping capacity and in the accomplishment of the daily activities.