Metabolic dysfunction‐associated steatotic liver disease (MASLD) is a major public health issue with a worldwide prevalence of 30%–32%. In animal models, voluntary exercise may be an alternative to forced physical activity, avoiding stress, potential injuries, and being logistically simpler. Here, we assessed voluntary exercise (Vex) in Sprague–Dawley rats fed a high‐fat, high‐cholesterol diet for 18 weeks to induce MASLD. We quantified workload (speed and distance) using exercise wheels and evaluated energy expenditure using calorimetric cages. MASLD progression was assessed using circulating and hepatic biochemical and gene markers of steatosis, inflammation, and fibrosis. The animals ran an average of 301 km during the study period, with the average daily distance peaking at 4937 m/day during Weeks 3–4 before decreasing to 757 m/day by the end of the study. Rats exposed to Vex showed no improvement in any of the MASLD‐associated features, such as steatosis, inflammation, or fibrosis. Rats exposed to Vex exhibited a higher total energy expenditure during the night phase (+0.35 kcal/h; p = 0.003) without resulting in any effect on body composition. We conclude that, in our experimental conditions, Vex failed to prevent MASLD progression in male Sprague–Dawley rats exposed to a high‐fat high‐cholesterol diet for 18 weeks.