High-fat diets made with different fats may have distinct effects on body weight regulation and metabolism. In the present study, the metabolic effects of high-fat (HF) diets made with fish oil, palm oil, and soybean oil were compared with a low-fat diet in female Wistar rats that were either exercised (EX, swimming) or that remained sedentary as controls. Each adult rat was exposed to the same diet that their dams consumed during pregnancy and lactation. When they were 9 weeks old, rats began an EX regimen that lasted for 6 weeks. Twenty-four hours after the last EX bout, rats were sacrificed in a fasted state. It was observed that HF feeding of soybean oil induced more body weight and fat gain, as well as insulin resistance, as indicated by insulin/glucose ratios, than other oils. Female rats fed a HF diet made with fish oil had body weight and insulin sensitivity not different from that observed in low fat fed control rats. For rats fed HF diets made with soybean oil or palm oil, EX also exerted beneficial effects by reducing body fat %, blood insulin, triglyceride and leptin levels, as well as improving insulin sensitivity.