Fibroblast growth factor 21 (FGF21) and β-Klotho (KLB) play an important role in preventing and treating overweight and obesity. However, it is unclear what conditions promote FGF21 and KLB expression in different tissues. Therefore, we studied expression of FGF21 and KLB with respect to two exercise regimes: moderate-intensity continuous training (MICT) and high-intensity interval training (HIIT) (two popular strategies in weight loss). Mice were randomly divided into three groups (n = 8 per group): MICT, HIIT, and sedentary lifestyle (SED). All mice were fed a high-fat diet (HFD) for 12 weeks to induce obesity. The exercise was performed on a motorized treadmill for another eight weeks and the diet continued in each group. We found that both MICT and HIIT had positive effects on the loss of HFD-induced body weight increase and serum FGF21 levels. HIIT promoted decrease of the body weight and serum triglyceride (TG) levels, while MICT was more effective at enhancing FGF21 and KLB expression in the liver, brown adipose tissue (BAT), and muscle at the mRNA and protein levels.