The current prevalence of diet-induced overweight and obesity in adolescents and adults is continuously growing. Although the detrimental biochemical and metabolic consequences of obesity are widely studied, its impact on stress-coping behavior and its interaction with specific exercise doses (in terms of intensity, duration and frequency) need further investigation. To this aim, we fed adolescent rats either an obesogenic diet (cafeteria diet, CAF) or standard chow (ST). Each group was subdivided into four subgroups according to the type of treadmill intervention as follows: a sedentary group receiving no manipulation; a control group exposed to a stationary treadmill; a low-intensity treadmill group trained at 12 m/min; and a higher intensity treadmill group trained at 17 m/min. Both the diet and treadmill interventions started at weaning and lasted for 8 weeks. Subjects were tested for anxiety-like behavior in the open field test and for coping strategies in the two-way active avoidance paradigm at week 7 and were sacrificed at week 8 for biometric and metabolic characterization. CAF feeding increased the weight gain, relative retroperitoneal white adipose tissue (RWAT %), and plasma levels of glucose, insulin, triglycerides and leptin and decreased the insulin sensitivity. Treadmill intervention partially reversed the RWAT% and triglyceride alterations; at higher intensity, it decreased the leptin levels of CAF-fed animals. CAF feeding decreased the motor activity and impaired the performance in a two-way active avoidance assessment. Treadmill intervention reduced defecation in the shuttle box, suggesting diminished anxiety. CAF feeding combined with treadmill training at 17 m/min increased the time spent in the center of the open field and more importantly, partially reversed the two-way active avoidance deficit. In conclusion, this study demonstrates that at doses that decreased anxiety-like behavior, treadmill exercise partially improved the coping strategy in terms of active avoidance behavior in the CAF-fed animals. This effect was not observed at lower doses of treadmill training.