(1) Background: Proglucagon-derived peptides (PDGPs) including glucagon (Gcg), GLP-1, and GLP-2 regulate lipid metabolism in the liver, adipocytes, and intestine. However, the mechanism by which PGDPs participate in alterations in lipid metabolism induced by high-fat diet (HFD) feeding has not been elucidated. (2) Methods: Mice deficient in PGDP (GCGKO) and control mice were fed HFD for 7 days and analyzed, and differences in lipid metabolism in the liver, adipose tissue, and duodenum were investigated. (3) Results: GCGKO mice under HFD showed lower expression levels of the genes involved in free fatty acid (FFA) oxidation such as Hsl, Atgl, Cpt1a, Acox1 (p < 0.05), and Pparα (p = 0.05) mRNA in the liver than in control mice, and both FFA and triglycerides content in liver and adipose tissue weight were lower in the GCGKO mice. On the other hand, phosphorylation of hormone-sensitive lipase (HSL) in white adipose tissue did not differ between the two groups. GCGKO mice under HFD exhibited lower expression levels of Pparα and Cd36 mRNA in the duodenum as well as increased fecal cholesterol contents compared to HFD-controls. (4) Conclusions: GCGKO mice fed HFD exhibit a lesser increase in hepatic FFA and triglyceride contents and adipose tissue weight, despite reduced β-oxidation in the liver, than in control mice. Thus, the absence of PGDP prevents dietary-induced fatty liver development due to decreased lipid uptake in the intestinal tract.