Adipokines dysregulation, the main reason for cognitive impairments (CI) induced by diabetes, shows a sex-dependent pattern inherently and in response to exercise. This study aimed to compare the attenuating effect of 8-week high intensity-interval training (HIIT) on type 2 diabetes (T2D)-induced CI between male and female rats with a special focus on adiponectin and leptin. 28 male & 28 female Wistar rats with an average age of 8 weeks were randomly assigned into four groups: control (Con), exercise (EX), Diabetes (T2D), and Type 2 diabetes + exercise (T2D + Ex). Rats in EX and T2D + EX groups performed HIIT for eight weeks (80–100% Vmax, 4–10 intervals). T2D was induced by 2 months of a high-fat diet and a single dose of STZ (35 mg/kg) administration. Leptin and adiponectin levels in serum were measured along with hippocampal expression of leptin and adiponectin receptors, AMP-activated protein kinase (AMPK), dephosphorylated glycogen synthase kinase-3 beta (Dep-GSK3β), Tau, and beta-amyloid (Aβ). Homeostasis model assessments (HOMAs) and quantitative insulin-sensitivity check index (QUICKI) indices were calculated. Our results showed that following T2D, serum levels of APN, and hippocampal levels of adiponectin receptor 1 (APNR1) were higher and HOMA-IR was lower in female than male rats (P < 0.05). However, after 8 weeks of HIIT, hippocampal levels of APNR1 and AMPK as well as QUICKI were lower and hippocampal levels of GSK, Tau, and Aβ were higher in females compared to male rats (P < 0.05). While the risk of CI following T2D was more in male than female rats HIIT showed a more ameliorating effect in male animals with APN1 as the main player.