Background: Adipocytokines secreted by adipose tissue are suggested to play a significant role in developing obesity-related complications. On the other hand, regular high-intensity interval training (HIIT) has been shown to reduce the risk of metabolic complications in obese subjects. Objectives: The effect of HIIT was evaluated on serum and adipose tissues (inguinal and retroperitoneal) adiponectin and TNF-α levels in rats fed with a high-fat diet plus sucrose solution (HFDS). Methods: Thirty-two male Wistar rats were randomly divided into HFDS and standard diet (SD) groups. After 12 weeks, each group was divided into a sedentary group and a HIIT group. An HIIT program was performed three times/week for eight weeks. Inguinal and retroperitoneal adipose tissues and serum were collected to assay adiponectin and TNF-α levels. Also, serum glucose and insulin levels, insulin resistance index (HOMA-IR) were measured. Results: HFDS significantly increased weight gain, weight of inguinal (P = 0.001) and retroperitoneal fat depots (P < 0.001), and HOMA-IR (P < 0.001) but reduced serum TNF-α levels (P = 0.011). HIIT was able to decrease weight gain and fat mass (P < 0.05) but did not affect inguinal and retroperitoneal fat depots’ adipokines (adiponectin and TNF-α) levels and HOMA-IR (P > 0.05). Conclusions: Treating rats on a standard diet with a training protocol was associated with weight loss, and decreased adipose tissue, and beneficial changes in adiponectin and TNF, suggesting that HIIT could prevent diseases associated with low-grade systemic inflammation.