Obesity induces insulin resistance, chronic inflammation, oxidative stress, and neurocognitive impairment. Avocado oil (AO) has antioxidants and anti-inflammatory effects. This study evaluated the effect of AO supplementation on obese mice in the adipose tissue, muscle, liver, and hippocampus. Male C57BL/6J mice received a standard and high-fat diet (20 weeks) and then were supplemented with AO (4 mL/kg of body weight, 90 days) and divided into the following groups: control (control), control + avocado oil (control + AO), diet-induced obesity (DIO), and diet-induced obesity + avocado oil (DIO + AO) (n = 10/group). AO supplementation was found to improve insulin sensitivity and decrease hepatic fat accumulation and serum triglyceride levels in DIO mice. AO improved cognitive performance and did not affect mood parameters. Oxidative marker levels were decreased in DIO + AO mice in all the tissues and were concomitant with increased catalase and superoxide dismutase activities in the epididymal adipose tissue and quadriceps, as well as increased catalase activity in the liver. AO in obese animals further induced reductions in TNF-α and IL-1β expressions in the epididymal adipose tissue and quadriceps. These results suggest that AO supplementation has the potential to be an effective strategy for combating the effects of obesity in rats, and human studies are needed to confirm these findings.