Quantifying complexity from heart rate variability (HRV) series is a challenging task, and multiscale entropy (MSE), along with its variants, has been demonstrated to be one of the most robust approaches to achieve this goal. Although physical training is known to be beneficial, there is little information about the long-term complexity changes induced by the physical conditioning. The present study aimed to quantify the changes in physiological complexity elicited by physical training through multiscale entropy-based complexity measurements. Rats were subject to a protocol of medium intensity training ( n = 13 ) or a sedentary protocol ( n = 12 ). One-hour HRV series were obtained from all conscious rats five days after the experimental protocol. We estimated MSE, multiscale dispersion entropy (MDE) and multiscale SDiff q from HRV series. Multiscale SDiff q is a recent approach that accounts for entropy differences between a given time series and its shuffled dynamics. From SDiff q , three attributes (q-attributes) were derived, namely SDiff q m a x , q m a x and q z e r o . MSE, MDE and multiscale q-attributes presented similar profiles, except for SDiff q m a x . q m a x showed significant differences between trained and sedentary groups on Time Scales 6 to 20. Results suggest that physical training increases the system complexity and that multiscale q-attributes provide valuable information about the physiological complexity.