(1) Background: Exercise exerts many neuroprotective effects in diabetes-induced brain disorders. In this study, we investigated the effect of high-intensity interval training (HIIT) on brain molecular changes and cognitive and anxiety-like behaviors in rats with type 2 diabetes. (2) Methods: Twenty-eight adult male rats were divided into four groups (n = 7): control (C), exercise + control (C+EX), diabetes (DM), and diabetes + exercise (DM+EX). Diabetes was induced using a two-month high-fat diet and a single dose of streptozotocin (35 mg/kg) in the DM and DM+EX groups. After, the C+EX and DM+EX groups performed HIIT for eight weeks (five sessions per week, running at 80–100% of V_Max, 4–10 intervals) on a motorized treadmill. Then, the elevated plus maze (EPM) and open field test (OFT) were performed to evaluate anxiety-like behaviors. The Morris water maze (MWM) and shuttle box were used to assess cognitive function. The hippocampal levels of beta-amyloid and tau protein were also assessed using Western blot. (3) Results: The hippocampal levels of beta-amyloid and tau protein were increased in the DM group, but HIIT restored these changes. While diabetes led to a significant decrease in open arm time percentage (%OAT) and open arm enters percentage (%OAE) in the EPM, indicating anxiety-like behavior, HIIT restored them. In the OFT, grooming was decreased in diabetic rats, which was restored by HIIT. No significant difference between groups was seen in the latency time in the shuttle box or for learning and memory in the MWM. (4) Conclusions: HIIT-induced hippocampal molecular changes were associated with anxiety-like behavior improvement but not cognitive function in rats with type 2 diabetes.