The simultaneous introduction of wheel running (WR) and diet choice (high-carbohydrate chow vs. high-fat diet) results in sex-specific diet choice patterns in rats. WR induces a high-fat (HF) diet avoidance, and such avoidance persists in the majority of males, but not females, throughout a 2-wk period. Exercise is a physiological stressor that activates the hypothalamic-pituitary-adrenal (HPA) axis and stimulates glucocorticoid (GC) release, which can alter dietary preferences. Here, we examined the role of the HPA axis and GC signaling in mediating exercise-induced changes in diet preference and the associated neurobiological adaptations that may underlie sex differences in diet choice patterns. Experiment 1 revealed that adrenalectomy did not significantly alter the initiation and persistence of running-induced HF diet avoidance in male rats. Experiment 2 showed that acute WR resulted in greater neural activation than chronic WR in the medial prefrontal (mPFC) and insular cortices (IC) in male rats. Experiment 3 revealed sex differences in the molecular adaptation to exercise and diet preference. First, exercise increased gene expression of fkbp5 in the mPFC, IC, and hippocampus of WR females but had limited influence in males. Second, male and female WR rats that reversed or maintained HF diet avoidance showed distinct sex- and HF diet preference-dependent expression profiles of genes involved in cortical GC signaling (e.g., nr3c1, nr3c2, and src1). Taken together, our results suggest sex differences in region-specific neural adaptations may underlie sex differences in diet preference and the health benefits from exercise.