The maintenance of mitochondrial activity in hypothalamic neurons is determinant to the control of energy homeostasis in mammals. Disturbs in the mitochondrial proteostasis can trigger the mitonuclear imbalance and mitochondrial unfolded protein response (UPRmt) to guarantee the mitochondrial integrity and function. However, the role of mitonuclear imbalance and UPRmt in hypothalamic cells are unclear. Combining the transcriptomic analyses from BXD mice database and in vivo experiments, we demonstrated that physical training alters the mitochondrial proteostasis in the hypothalamus of C57BL/6J mice. This physical training elicited the mitonuclear protein imbalance, increasing the mtCO-1/Atp5a ratio, which was accompanied by high levels of UPRmt markers in the hypothalamus. Also, physical training increased the maximum mitochondrial respiratory capacity in the brain. Interestingly, the transcriptomic analysis across several strains of the isogenic BXD mice revealed that hypothalamic mitochondrial DNA-encoded genes were negatively correlated with body weight and several genes related to the orexigenic response. As expected, physical training reduced body weight and food intake. Interestingly, we found an abundance of mt-CO1, a mitochondrial DNA-encoded protein, in NPY-producing neurons in the lateral hypothalamus nucleus of exercised mice. Collectively, our data demonstrated that physical training altered the mitochondrial proteostasis and induced the mitonuclear protein imbalance and UPRmt in hypothalamic cells.