Daily physical activity shows substantial inter-individual variation, and low physical activity is associated with obesity and weight gain. Elevated physical activity is also associated with high intrinsic aerobic capacity, which confers considerable metabolic health benefits. Rats artificially selected for high intrinsic aerobic capacity (high-capacity runners, HCR) are more physically active than their low-capacity counterparts (low-capacity runners, LCR). To test the hypothesis that physical activity counters metabolic thriftiness, we measured physical activity and weight loss during three weeks of 50% calorie restriction (CR) in the HCR and LCR rat lines. At baseline, HCR ate more and were more active than LCR; this was seen in male rats, where LCR are considerably heavier than HCR, as well as in a set of female rats where body weight did not differ between the lines, demonstrating that this effect is consistent across sex and not secondary to body weight. We show for the first time that HCR lose more weight than LCR relative to baseline. Physical activity levels declined throughout CR, and this was more pronounced in HCR than in LCR, yet some aspects of activity remained elevated in HCR relative to LCR even during CR. This is consistent with the idea that low physical activity contributes to metabolic thriftiness during food restriction, allowing LCR to defend body mass, particularly lean mass. This has implications for physical activity during diet-induced weight loss, the genetic underpinnings of individual differences in weight loss during a diet, and the potential evolutionary opposition between metabolic thriftiness and aerobic capacity.