High-fat diets, characterised by their high lipid content, have been associated with structural and functional alterations in the hippocampus of rodents, including a reduction in the expression of brain-derived neurotrophic factor (BDNF), which negatively impacts learning and memory. Evidence suggests that these impairments may be attenuated by regular physical exercise. This review aimed to gather relevant scientific evidence available on the effects of the association between high-fat diets and physical exercise on BDNF expression levels in the hippocampus of rats. The studies analysed highlight a neuroprotective effect of exercise, capable of positively modulating BDNF levels and, consequently, improving the cognitive functions of these animals.