As white adipose tissue (WAT) expands under obesogenic conditions, local WAT hypoxia may contribute to the chronic low‐grade inflammation observed in obesity. Aerobic exercise training is beneficial in treating WAT inflammation after obesity is established, but it remains unknown whether exercise training, while on a concomitant high‐fat (HF) diet, influences WAT inflammation during the development of obesity. We sought to determine the effects of 4, 8, and 12 weeks of HF feeding and/or moderate intensity treadmill exercise training (EX) on the relationship between inflammatory and hypoxic gene expression within mouse WAT. Male C57Bl6/J mice (n = 113) were randomized into low‐fat (LF)/sedentary (SED), LF/EX, HF/SED, or HF/EX groups. The low‐fat and high‐fat diets contained 10% and 60% energy from fat, respectively. Exercise training consisted of treadmill running 5 days/week at 12 m/min, 8% incline, 40 min/day. Quantitative real‐time PCR was used to assess gene expression. HF diet impaired glucose regulation, and upregulated WAT gene expression of inflammation (IL‐1β, IL‐1ra, TNFα), macrophage recruitment and infiltration (F4/80 and monocyte chemoattractant protein), and M1 (CD11c) and M2 (CD206 and Arginase‐1) macrophage polarization markers. Treadmill training resulted in a modest reduction of WAT macrophage and inflammatory gene expression. HF diet had little effect on hypoxia‐inducible factor‐1α and vascular endothelial growth factor, suggesting that WAT inflammatory gene expression may not be driven by hypoxia within the adipocytes. Treadmill training may provide protection by preventing WAT expansion and macrophage recruitment.