Rats selectively bred for the high intrinsic aerobic capacity runner (HCR) or low aerobic capacity runner (LCR) show pronounced differences in susceptibility for high‐fat/high sucrose (HFHS) diet‐induced hepatic steatosis and insulin resistance, replicating the protective effect of high aerobic capacity in humans. We have previously shown multiple systemic differences in energy and substrate metabolism that impacts steatosis between HCR and LCR rats. This study aimed to investigate hepatic‐specific mechanisms of action via changes in gene transcription. Livers of HCR rats had a greater number of genes that significantly changed in response to 3‐day HFHS compared with LCR rats (171 vs. 75 genes: >1.5‐fold, p < 0.05). HCR and LCR rats displayed numerous baseline differences in gene expression while on a low‐fat control diet (CON). A 3‐day HFHS diet resulted in greater expression of genes involved in the conversion of excess acetyl‐CoA to cholesterol and bile acid (BA) synthesis compared with the CON diet in HCR, but not LCR rats. These results were associated with higher fecal BA loss and lower serum BA concentrations in HCR rats. Exercise studies in rats and mice also revealed higher hepatic expression of cholesterol and BA synthesis genes. Overall, these results suggest that high aerobic capacity and exercise are associated with upregulated BA synthesis paired with greater fecal excretion of cholesterol and BA, an effect that may play a role in protection against hepatic steatosis in rodents.