Regular physical activity and healthy dietary patterns are commonly recommended for the prevention and treatment of metabolic syndrome (MetS), which is diagnosed at an alarmingly increasing rate, especially among adolescents. Nevertheless, little is known regarding the relevance of physical exercise on the modulation of the metabolome in healthy people and those with MetS. We have previously shown that treadmill exercise ameliorated different symptoms of MetS. The aim of this study was to investigate the impact of a MetS-inducing diet and different intensities of aerobic training on the overall serum metabolome of adolescent rats. For 8 weeks, young rats were fed either standard chow (ST) or cafeteria diet (CAF) and were subjected to a daily program of training on a treadmill at different speeds. Non-targeted metabolomics was used to identify changes in circulating metabolites, and a combination of multivariate analysis techniques was implemented to achieve a holistic understanding of the metabolome. Among all the identified circulating metabolites influenced by CAF, lysophosphatidylcholines were the most represented family. Serum sphingolipids, bile acids, acylcarnitines, unsaturated fatty acids and vitamin E and A derivatives also changed significantly in CAF-fed rats. These findings suggest that an enduring systemic inflammatory state is induced by CAF. The impact of physical training on the metabolome was less striking than the impact of diet and mainly altered circulating bile acids and glycerophospholipids. Furthermore, the serum levels of monocyte chemoattractant protein-1 were increased in CAF-fed rats, and C-reactive protein was decreased in trained groups. The leptin/adiponectin ratio, a useful marker of MetS, was increased in CAF groups, but decreased in proportion to training intensity. Multivariate analysis revealed that ST-fed animals were more susceptible to exercise-induced changes in metabolites than animals with MetS, in which moderate-intensity seems more effective than high-intensity training. Our results indicate that CAF has a strong negative impact on the metabolome of animals that is difficult to reverse by daily exercise.