The present study examined the effect of 4-week swimming training on the preference for a high-fat diet and insulin sensitivity in mice. C57BL/6 J mice were placed on either a low-fat diet or a choice diet (with both low-fat and high-fat diets available) for 6 weeks. During this period, a group of mice on the free-choice diet were randomly selected to receive a 4-week swimming exercise intervention. Mice that received the swimming exercise intervention showed a reduced preference for the high-fat diet as well as a slower rate of weight gain. Moreover, changes in insulin sensitivity, tyrosine hydroxylase expression in the ventral tegmental area-nucleus accumbens system, and the expression of IRS2, IRS2, and high-fat diet-induced Akt phosphorylation in the nucleus accumbens were delayed in the swimming exercise intervention group. Taken together, these results suggest that swimming exercise regulates the dopaminergic reward system to decrease high-fat diet intake, thereby controlling body weight to prevent obesity, in a manner likely mediated by increased insulin signal transduction in the nucleus accumbens.