Excessive and prolonged intake of highly palatable, high fat (HF) foods contributes to the pathogenesis of obesity, metabolic syndrome, and cognitive impairment. Exercise can restore energy homeostasis and suppress HF diet preference in rats. However, it is unclear if exercise confers similar protection against the detrimental outcomes associated with a chronic HF diet preference and feeding in both sexes. We used our wheel running (WR) and two-diet choice (chow vs. HF) paradigm to investigate the efficacy of exercise in reversing HF diet-associated metabolic and cognitive dysregulation in rats, hypothesizing that beneficial effects of exercise would be more pronounced in males. All WR rats showed HF diet avoidance upon running initiation, and males, but not females, had a prolonged reduction in HF diet preference. Moreover, exercise only improved glucose tolerance and insulin profile in males. Compared to sedentary controls, all WR rats improved learning to escape on the Barnes maze. Only WR females increased errors made during subsequent reversal learning trials, indicating a sex-dependent effect of exercise on behavioral flexibility. Taken together, our results suggest that exercise is more effective at attenuating HF-associated metabolic deficits in males, and highlights the importance of developing sex-specific treatment interventions for obesity and cognitive dysfunction.