Previous studies suggest an interaction between the level of physical activity and diet preference. However, this relationship has not been well characterized for sex differences that may exist. The present study examined the influence of sex on diet preference in male and female Wistar rats that were housed under either sedentary (no wheel access) (SED) or voluntary wheel running access (RUN) conditions. Following a 1 week acclimation period to these conditions, standard chow was replaced with concurrent ad libitum access to a choice of 3 pelleted diets (high-fat, high-sucrose, and high-corn starch) in the home cage. SED and RUN conditions remained throughout the next 4 week diet preference assessment period. Body weight, running distance, and intake of each diet were measured daily. At the conclusion of the 4 week diet preference test, animals were sacrificed and brains were collected for mRNA analysis. Fecal samples were also collected before and after the 4 week diet preference phase to characterize microbiota composition. Results indicate sex dependent interactions between physical activity and both behavioral and physiological measures. Females in both RUN and SED conditions preferred the high-fat diet, consuming significantly more high-fat diet than either of the other two diets. While male SED rats also preferred the high-fat diet, male RUN rats consumed significantly less high-fat diet than the other groups, instead preferring all three diets equally. There was also a sex dependent influence of physical activity on both reward related opioid mRNA expression in the ventral striatum and the characterization of gut microbiota. The significant sex differences in response to physical activity observed through both behavioral and physiological measures suggest potential motivational or metabolic difference between males and females. The findings highlight the necessity for further exploration between male and female response to physical activity and feeding behavior.