Inappropriate nutrition and a sedentary lifestyle can lead to obesity, one of the most common risk factors for several chronic diseases. Although regular physical exercise is an efficient approach to improve cardiometabolic health, the exact cellular processes are still not fully understood. We aimed to analyze the morphological, gene expression, and lipidomic patterns in the liver and adipose tissues in response to regular exercise. Healthy (wild type on a normal diet) and hyperlipidemic, high-fat diet-fed (HFD-fed) apolipoprotein B-100 (APOB-100)-overexpressing mice were trained by treadmill running for 7 months. The serum concentrations of triglyceride and tumor necrosis factor α (TNFα), as well as the level of lipid accumulation in the liver, were significantly higher in HFD-fed APOB-100 males compared to females. However, regular exercise almost completely abolished lipid accumulation in the liver of hyperlipidemic animals. The expression level of the thermogenesis marker, uncoupling protein-1 (Ucp1), was significantly higher in the subcutaneous white adipose tissue of healthy females, as well as in the brown adipose tissue of HFD-fed APOB-100 females, compared to males. Lipidomic analyses revealed that hyperlipidemia essentially remodeled the lipidome of brown adipose tissue, affecting both the membrane and storage lipid fractions, which was partially restored by exercise in both sexes. Our results revealed more severe metabolic disturbances in HFD-fed APOB-100 males compared to females. However, exercise efficiently reduced the body weight, serum triglyceride levels, expression of pro-inflammatory factors, and hepatic lipid accumulation in our model.