Exercise has been widely studied for its therapeutic potential in obesity and has been shown to impact several obesity-associated changes that are linked to health complications. Several preclinical rodent studies have shown that long-term treadmill exercise improves metabolic health and microbiome composition and normalises hypothalamic and adipose tissue (WAT) gene expression in diet-induced obesity. However, limited work has investigated whether short-term treadmill exercise can provide any health benefits. To address this gap in the literature, we fed rats a high-fat, high-sugar western-style cafeteria diet and assessed the effects of short-term moderate exercise adiposity, diet-induced gut dysbiosis, and hypothalamic and retroperitoneal WAT gene expression. Forty-eight male Sprague-Dawley rats were initially allocated to either a regular chow or cafeteria diet, consisting of regular chow, water, and various cakes, biscuits, savoury foods with 10% sucrose solution. After three weeks, half the rats on each diet were allocated to moderate treadmill exercise for four weeks while the remainder were exposed to a stationary treadmill. We found that short-term exercise reduced fat mass and plasma leptin concentrations, and increased WAT leptin receptor gene expression. WAT uncoupling protein 1 expression was upregulated in exercised rats fed cafeteria diet. Hypothalamic NPY was downregulated in cafeteria-fed sedentary rats but normalised to control levels with exercise, whereas glucose transporter 1 was upregulated with cafeteria diet and normalised in exercised cafeteria-fed rats. Microbial species diversity was uniquely reduced in exercising chow-fed rats, while microbiome composition was only changed by cafeteria diet. After controlling for diet and exercise, WAT IL-6 expression and plasma triglyceride concentrations were significantly associated with global microbiome composition. In summary, short-term treadmill exercise reduced adiposity and altered both WAT and hypothalamic gene expression. Short-term exercise induced subtle microbiome composition changes in chow-fed rats but did not overcome the microbiome changes induced by cafeteria diet.