Overeating highly palatable foods typical of a Western diet (WD) has been linked to cognitive impairments in animal models and humans. Exercise training was proposed as an important behavioral intervention with beneficial effects, including improving peripheral insulin sensitivity, improving central functions such as learning and memory, and restoring a dysregulated blood-brain barrier (BBB). The purpose of the present study was to characterize the effect of exercise training in rats fed with the WD with special emphasis on BBB. Adult female Long Evans rats were subjected to 12 weeks of WD feeding (WD group), or simultaneous WD feeding and wheel-running training (WD/EX group), or were fed a WD for 6 weeks without training and then subjected to diet and training for an additional 6 weeks (WD_WD/EX group). A sedentary (untrained) group of lean rats was fed a standard rodent chow (CTR group). In all experimental groups, we measured behavioral and physiological parameters, and the hippocampal levels of proteins structurally and functionally related to BBB, including proinflammatory cytokines and products of elevated lipid peroxidation. Exercise training in combination with a WD decreased locomotor and exploratory activities and induced short-term memory impairments. The behavioral changes were accompanied by reduced levels of occludin, claudin-5, and ZO-1 proteins in the hippocampus, suggesting changes in the integrity and increased permeability of BBB. In the WD_WD/EX rats, we found increased hippocampal levels of malondialdehyde (MDA) and neurotrophins (Bdnf, Vegfa) suggesting that increased energy expenditure by obese rats stimulates endogenous protective processes. The training introduced after 6 weeks of WD feeding in rats showing an obese phenotype may suggest that the sequence and moment of presumably protective intervention (exercise training) could alleviate or, on the contrary, exacerbate the level of stress and its consequences.