Non-alcoholic fatty liver disease (NAFLD) is the most common cause of chronic liver disease, resulting not only in liver dysfunction, glucose and lipid metabolism disorder, but also in neuropsychiatric damage. In the present study, a NAFLD rat model was established via feeding of a high-fat diet, and behaviour was observed via the open field test (OFT), the sucrose preference test (SPT), the elevated plus maze (EPM), the forced swimming test (FST) and the Morris water maze (MWM). The plasma concentrations of alanine aminotransferase (ALT), glucose, free fatty acid (FFA), total cholesterol (TC), triglyceride (TG), high-density lipoprotein cholesterol (HDL-C) and low-density lipoprotein cholesterol (LDL-C) were detected using chemiluminescence technique. The plasma levels of nesfatin-1, leptin and insulin were measured via enzyme-linked immunosorbent assay, and the protein expressions of p-glycogen synthase kinase-3β (GSK-3β), GSK-3β, p-β-catenin, β-catenin, cyclinD and copine 6 in the hippocampus and prefrontal cortex (PFC) were detected using western blotting. After 4 consecutive weeks of feeding with a high-fat diet, the rats showed obesity; increased plasma concentrations of ALT, glucose, FFA, TC, TG, HDL-C and LDL-C; decreased plasma levels of leptin and insulin; and inflammation and mild hepatocyte steatosis in the liver. Although there was no significant difference between groups with regard to performance in the OFT, EPM or FST, the NAFLD rats showed a decreased sucrose preference index in the SPT and impaired learning and memory in the MWM task. Moreover, the present study provides the first evidence of an increased plasma nesfatin-1 concentration in NAFLD rats, which was significantly correlated with plasma lipid concentrations and behavioural performance. Furthermore, copine 6 and p-β-catenin protein expression decreased and p-GSK-3β increased in the hippocampus and PFC of NAFLD rats. These results suggest that consuming of a high-fat diet for 4 consecutive weeks could successfully induce a NAFLD rat model. More importantly, these results provide the first evidence that impaired learning and memory in NAFLD rats was, at least partly, associated with increased plasma nesfatin-1 concentration and decreased copine 6 expression in the hippocampus and PFC.