Previous studies suggest that the loss of estrogens increase one's risk for type 2 diabetes (T2D), and combining the loss of estrogens with a high‐fat diet (HFD) poses an even greater risk for T2D. The extent to which exercise can ameliorate the deleterious effects of estrogen loss combined with a HFD and the molecular mechanisms accounting for the whole body changes is currently unknown. Therefore, we fed female Wistar rats a standard diet or a HFD for 10 weeks. The rats fed the HFD were either ovariectomized (OVX) or their ovaries remained intact. A subset of the HFD/OVX rats also underwent exercise training on a motor‐driven treadmill. Exercise significantly reduced the total body weight gain, periuterine white adipose tissue (WAT) weight, hyperglycemia, and hyperinsulinemia. Additionally, the ability to store fat, as measured by lipoprotein lipase (LPL) in the WAT, was increased in the HFD/OVX group; however, exercise reduced the LPL levels. Furthermore, the combination of the HFD with OVX decreased the WAT citrate synthase protein level, which was increased with exercise. These data suggest that even during the combined HFD/OVX physiological state, exercise can decrease several risk factors associated with T2D, decrease fat storage, and increase fuel utilization.