Obesity is commonly accompanied by chronic tissue inflammation and leads to insulin resistance. Aerobic exercise is an essential treatment for insulin resistance and has anti-inflammatory effects. However, the molecular mechanisms of exercise on obesity-associated inflammation and insulin resistance remain largely unknown. Here, we evaluated the effects of aerobic exercise on inflammation and insulin resistance in skeletal muscles of high-fat diet (HFD) mice. Male C57BL/6J mice were fed a high-fat diet or a normal diet for 12 weeks, and then aerobic training was performed on a treadmill for 8 weeks. Body weight, fasting blood glucose, food intake levels, and glucose and insulin tolerance were evaluated. The levels of cytokines, skeletal muscle insulin resistance, and inflammation were also analyzed. Eight weeks of aerobic exercise attenuated HFD-induced weight gain and glucose intolerance, and improved insulin sensitivity. This was accompanied by enhanced insulin signaling. Exercise directly resulted in a significant reduction of lipid content, inflammation, and macrophage infiltration in skeletal muscles. Moreover, exercise alleviated HFD-mediated inflammation by suppressing the activation of the NF-κB pathway within skeletal muscles. These results revealed that aerobic exercise could lead to an anti-inflammatory phenotype with protection from skeletal muscle insulin resistance in HFD-induced mice.