The aim of this study was to evaluate, in male Long-Evans rats, whether a restricted-cafeteria diet (CAFR), based on a 30% calorie restriction vs continuous ad libitum cafeteria (CAF) fed animals, administered alone or in combination with moderate treadmill exercise (12 m/min, 35 min, 5 days/week for 8 weeks), was able to ameliorate obesity and the associated risk factors induced by CAF feeding for 18 weeks and to examine the changes in circadian locomotor activity, hypothalamic–pituitary–adrenal (HPA) axis functionality, and stress response elicited by this dietary pattern. In addition to the expected increase in body weight and adiposity, and the development of metabolic dysregulations compatible with Metabolic Syndrome, CAF intake resulted in a sedentary profile assessed by the home-cage activity test, reduced baseline HPA axis activity through decreased corticosterone levels, and boosted exploratory behavior. Both CAFR alone and in combination with exercise reduced abdominal adiposity and hypercholesterolemia compared to CAF. Exercise increased baseline locomotor activity in the home-cage in all dietary groups, boosted exploratory behavior in STD and CAF, partially decreased anxiety-like behavior in CAF and CAFR, but did not affect HPA axis-related parameters.