Obesity is a prevalent public health concern in several countries, and is closely associated with several pathological disorders, including diabetes, hypertension, cardiovascular diseases, and increased dyslipidemia. Dyslipidemia is an asymptomatic condition characterized by high levels of low-density lipoproteins (LDL) and low levels of high-density lipoproteins (HDL), leading to the increased risk of ischemic heart disease. As lipid disorders are strongly associated with lifestyle and diet, in this work we have evaluated the effect of associating chitosan and exercise on the improvement of the lipid profile of high-fat diet-fed rats. Animals were submitted orally to hypercaloric diets based on liquid butter at 1 mL/100 g to induce a hyperlipidemic state for 8 weeks (as shown by body weight and measures of the Lee obesity index). After 8 weeks, the 40 rats were separated into five groups (n = 8) and adapted to different treatment strategies: physical exercise and/or treatment with chitosan (at a concentration of 2%). The hyperlipidemic group exhibited altered levels of glucose and hepatic enzymes, i.e., aspartate aminotransferase (AST) and alanine aminotransferase (ALT). The treatment with chitosan over 8 weeks significantly reduced the bodyweight of the animals, reaching values lower than the control group. Exercise reduced the Lee obesity index values of all the treated groups compared to non-treated rats. The concentration of total cholesterol, triglycerides, LDL, and VLDL was significantly reduced at the end of the study to healthy thresholds. The hepatic parenchyma of hyperlipidemic animals was recovered to show normal morphology when treated with chitosan; improved histological features (ca. 20–30% of parenchymal cells) could be achieved with physical exercise. In conclusion, oral administration of chitosan associated with physical exercise had a hypolipidemic effect in a model of dyslipidemia in rodents, showing decreased levels of total cholesterol, triglycerides, LDL-c, VLDL-c, glucose, and liver enzymes (AST and ALT). Our results are attributed to the synergism between the administration of chitosan and physical exercise that helps to reduce oxidative stress.