Atherosclerosis, accompanied by inflammation and metabolic disorders, is the primary cause of clinical cardiovascular death. In recent years, unhealthy lifestyles (e.g., sedentary lifestyles) have contributed to a worldwide epidemic of atherosclerosis. Exercise is a known treatment of atherosclerosis, but the precise mechanisms are still unknown. Here, we show that 12 weeks of regular exercise training on a treadmill significantly decreased lipid accumulation and foam cell formation in ApoE−/− mice fed with a Western diet, which plays a critical role in the process of atherosclerosis. This was associated with an increase in β-hydroxybutyric acid (BHB) levels in the serum. We provide evidence that BHB treatment in vivo or in vitro increases the protein levels of cholesterol transporters, including ABCA1, ABCG1, and SR-BI, and is capable of reducing lipid accumulation. It also ameliorated autophagy in macrophages and atherosclerosis plaques, which play an important role in the step of cholesterol efflux. Altogether, an increase in serum BHB levels after regular exercise is an important mechanism of exercise inhibiting the development of atherosclerosis. This provides a novel treatment for atherosclerotic patients who are unable to undertake regular exercise for whatever reason. They will gain a benefit from receiving additional BHB.