Physical exercise training has been positioned as a behavioral strategy to prevent or alleviate obesity via promotion of energy expenditure as well as modulation of energy intake resulting from changes in dietary preference. Brain adaptations underlying the latter process are incompletely understood. Voluntary wheel running (VWR) is a self-reinforcing rodent paradigm that mimics aspects of human physical exercise training. Behavioral and mechanistic insight from such fundamental studies can help optimize therapies that improve body weight and metabolic health based on physical exercise training in humans. To assess the effects of VWR on dietary self-selection, male Wistar rats were given access to a two-component "no-choice" control diet (CD; consisting of prefabricated nutritionally complete pellets and a bottle with tap water) or a four-component free-choice high-fat high-sucrose diet (fc-HFHSD; consisting of a container with prefabricated nutritionally complete pellets, a dish with beef tallow, a bottle with tap water, and a bottle with 30% sucrose solution). Metabolic parameters and baseline dietary self-selection behavior during sedentary (SED) housing were measured for 21 days, after which half of the animals were allowed to run on a vertical running wheel (VWR) for another 30 days. This resulted in four experimental groups (SEDCD, SEDfc-HFHSD, VWRCD, and VWRfc-HFHSD). Gene expression of opioid and dopamine neurotransmission components, which are associated with dietary self-selection, was assessed in the lateral hypothalamus (LH) and nucleus accumbens (NAc), two brain regions involved in reward-related behavior, following 51 and 30 days of diet consumption and VWR, respectively. Compared to CD controls, consumption of fc-HFHSD before and during VWR did not alter total running distances. VWR and fc-HFHSD had opposite effects on body weight gain and terminal fat mass. VWR transiently lowered caloric intake and increased and decreased terminal adrenal and thymus mass, respectively, independent of diet. VWR during fc-HFHSD consumption consistently increased CD self-selection, had an acute negative effect on fat self-selection, and a delayed negative effect on sucrose solution self-selection compared to SED controls. Gene expression of opioid and dopamine neurotransmission components in LH and NAc were unaltered by fc-HFHSD or VWR. We conclude that VWR modulates fc-HFHSD component self-selection in a time-dependent manner in male Wistar rats.