Background: The prevalence of type 2 diabetes mellitus (T2DM) is increasing worldwide, and this issue is one of the major concerns in the pending years. T2DM causes numerous complications, including cognition, learning, and memory impairments. The positive effect of physical exercise as a popular approach has been shown in many chronic diseases. Further, the improvement effects of exercise on cognition and memory impairment have been noticed. Objectives: This study examines the possible preventative effects of physical exercise on spatial memory attenuation and brain mitochondrial dysfunction caused by T2DM. Methods: Male Wistar rats received treadmill exercise (30 min per day, five days per week for two or four weeks). Then, T2DM was induced by a high-fat diet and an injection of streptozotocin (30 mg/kg). Spatial learning and memory were assessed by the Morris water maze test. Further, brain mitochondrial function, including reactive oxygen species (ROS) generation, mitochondrial membrane potential (MMP), mitochondrial swelling, outer membrane damage, cytochrome c release, and ADP/ATP ratio, were measured. Results: Impaired spatial memory in T2DM rats was observed. Furthermore, brain mitochondrial dysfunction was demonstrated proved by increased ROS generation, MMP collapse, mitochondrial swelling, outer membrane damage, cytochrome c release, and ADP/ATP ratio. Conversely, physical exercise, before diabetes onset, significantly ameliorated spatial memory impairment and brain mitochondrial dysfunction. Conclusions: This study reveals that physical exercise could prevent diabetes-induced spatial memory impairment. Moreover, it could ameliorate brain mitochondrial dysfunction as one of the possible underlying mechanisms of spatial memory impairment in T2DM.