The aim of this paper was to investigate the effects of semaglutide on phosphorylated protein expression, and its neuroprotective mechanism in hippocampi of high-fat-diet-induced obese mice. In total, 16 obese mice were randomly divided into model group (H group) and semaglutide group (S group), with 8 mice in each group. In addition, a control group (C group) was set up comprising 8 C57BL/6J male normal mice. The Morris water maze assay was conducted to detect cognitive function changes in the mice, and to observe and compare body weight and expression levels of serological indicators between groups after the intervention. Phosphorylated proteomic analysis was performed to detect the hippocampal protein profile in mice. Proteins up-regulated twofold or down-regulated 0.5-fold in each group and with t-test p < 0.05 were defined as differentially phosphorylated proteins and were analyzed bioinformatically. The results showed that the high-fat diet-induced obese mice had reduced body weight, improved oxidative stress indexes, significantly increased the percentage of water maze trips and the number of platform crossings, and significantly shortened the water maze platform latency after semaglutide intervention. The phosphorylated proteomics results identified that 44 overlapping proteins among the three experimental groups. Most of the phosphorylated proteins identified were closely associated with pathways of neurodegeneration-multiple diseases. In addition, we identified Huntington, Neurofilament light chain, Neurofilament heavy chain as drug targets. This study demonstrates for the first time that semaglutide exerts neuroprotective effects by reducing HTT Ser1843, NEFH Ser 661 phosphorylation and increasing NEFL Ser 473 phosphorylation in hippocampal tissue of obese mice.