Background/Objectives: Overweight and obesity have consistently increased in prevalence. Early exposure to foods high in fats and sugar through maternal conditions may increase vulnerability to developing metabolic diseases and cognitive impairments in adulthood. In this regard, we aim to evaluate the effects that perinatal exposure to cafeteria diet (CAF) and physical activity (PA) has on anxiety-like, depressive-like behavior, memory and diet preference in male and female offspring. Methods: Seventy female and male offspring rats were divided into five groups according to maternal conditions: (1) CONTROL, fed only standard diet (SD) with no voluntary PA, (2) SED+SD, fed only SD with no voluntary PA, (3) SED+CAF, fed SD and CAF with no voluntary PA, (4) PA+SD, fed only SD with voluntary PA, and (5) PA+CAF, fed SD and CAF with voluntary PA. Starting on PND 24, offspring rats were exposed to SD and CAF (except for rats from the CON maternal group) and evaluated for seven weeks for diet preference, and at week seven for anxiety-like, depressive-like behavior and memory. Results: After seven weeks of exposure to CAF, maternal conditions showed significantly different effects on adult male and female offspring for diet preference and memory impairments. Furthermore, maternal PA significantly reduced anxiety-like and depressive-like behaviors in the offspring. Conclusions: Our results suggest that maternal conditions and postweaning CAF exposure have a joint influence on diet preference, anxiety-like and depressive-like behavior. Additionally, perinatal CAF exposure impairs memory in male and female offspring, regardless of maternal PA conditions. However, maternal PA was associated with reduced affective behaviors induced by lifelong CAF, presenting as a promising non-pharmacological intervention to promote favorable long-term behavioral outcomes in offspring.