There is little understanding about dietary proteins and their potential contribution to obesity-induced inflammation. This study investigates the effect of 10 weeks of aerobic training and whey protein (WP) supplementation on visceral adipose tissue inflammation in rats fed a high-fat diet (HFD). In the first phase, which lasted 9 weeks, 40 male Wistar rats were randomly divided into 2 groups: (1) normal diet (n = 8), and (2) HFD (n = 32). In the second phase, rats fed an HFD were randomly assigned into 4 groups (n = 8/group): (1) sedentary, (2) WP, (3) aerobic training, and (4) WP + aerobic training. The aerobic training was performed for 10 weeks, 5 days/week at 21 m/min, 15% incline, for 60 min/day. HFD significantly increased body weight, adiposity index, fat pads weight, glucose levels, and insulin resistance index compared with the normal diet. Also, levels of tumor necrosis factor alpha (TNF-α), monocyte chemoattractant protein-1 (MCP-1), hypoxia inducible factor 1 alpha (HIF-1α), and vascular endothelial growth factor A (VEGF-A) in adipose tissue and serum levels of TNF-α were increased in the HFD group. Glucose levels, insulin resistance index, and triglycerides were reduced only by WP, independently of aerobic training. Both the aerobic training and WP reduced the fat pads weight and levels of TNF-α, HIF-1α, and VEGF-A in adipose tissue. Nevertheless, the levels of MCP-1 in adipose tissue and serum levels of TNF-α and MCP-1 were not reduced significantly by WP or aerobic training. These findings suggest that both aerobic training and WP supplementation lead to a reduction in adiposity and ameliorate obesity-induced inflammation in visceral adipose tissue.