Physical inactivity, associated with the ingestion of hypercaloric foods, contributes to obesity development. In contrast, physical exercise training (ET) can slow obesity progression. Vitamin (Vit) D, a hormone that regulates adipocyte metabolism, may represent a strategy to reduce obesity; however, it is currently not known whether Vit D enhances the anti-obesity benefits of physical exercise. We hypothesized that swimming ET may prevent Western diet (WD)-induced obesity, and that Vit D supplementation could enhance the anti-obesity actions of ET. Male Wistar rats were fed, from 21 to 90 days of age, on a standard diet, or a WD, in association or not (sedentary control [CTL-SED] and WD [WD-SED] groups) with swimming ET for 15 min/day, 3 days a week (exercised CTL [CTL-EXE] and WD [WD-EXE] groups). Additionally, at 60 days of age, half of the CTL-EXE and WD-EXE groups were submitted, or not, to oral Vit D supplementation (CTL-EXE-VD and WD-EXE-VD groups, respectively). At 91 days old, WD-SED rats displayed increased body weight, abdominal adiposity, hypercholesterolemia, hyperleptinaemia and high circulating levels of tumour necrosis factor (TNF)-α. Swimming ET attenuated the increase in abdominal adiposity induced by WD. Furthermore, the WD-EXE group exhibited reductions in glycaemia, triglyceridaemia, cholesterolaemia, leptinaemia and in plasma TNF-α concentrations. Vitamin D supplementation, combined with ET, did not provide any additive benefit against adiposity, only potentiating the effects of ET action on the reduction in triglyceridaemia. Exercise training, independently of Vit D, provides a strategy to attenuate the adiposity expansion that is induced by WD, mediated in part by reductions in leptinaemia and TNF-α levels.