This study aims to investigate if a mixture of functional lipids (FLs), containing conjugated linoleic acid (CLA), tocopherols (TPs), and phytosterols (PSs), prevents some lipid alterations induced by high-fat (HF) diets, without adverse effects. Male CF1 mice (n = 6/group) were fed (4 weeks) with control (C), HF, or HF + FL diets. FL prevented the overweight induced by the HF diet and reduced the adipose tissue (AT) weight, associated with lower energy efficiency. After the intervention period, the serum triacylglycerol (TAG) levels in both HF diets underwent a decrease associated with an enhanced LPL activity (mainly in muscle). The beneficial effect of the FL mixture on body weight gain and AT weight might be attributed to the decreased lipogenesis, denoted by the lower mRNA levels of SREBP1-c and ACC in AT, as well as by an exacerbated lipid catabolism, reflected by increased mRNA levels of PPARα, ATGL, HSL, and UCP2 in AT. Liver TAG levels were reduced in the HF + FL group due to an elevated lipid oxidation associated with a higher CPT-1 activity and mRNA levels of PPARα and CPT-1a. Moreover, genes linked to fatty acid biosynthesis (SREBP1-c and ACC) showed decreased mRNA levels in both HF diets, this finding being more pronounced in the HF + FL group. The administration of an FL mixture (CLA + TP + PS) prevented some lipid alterations induced by a HF diet, avoiding frequent deleterious effects of CLA in mice through the modulation of gene expression related to the regulation of lipid metabolism.