Weight cycling (weight loss and regain) increases fat intake in rats allowed to self-select a diet from protein, carbohydrate, and fat sources. This study reports the effects of exercise on macronutrient self-selection. Female Sprague-Dawley rats (5 mo old) self-selected their diet. After 3 wk, rats were assigned to one of the following three groups: ad libitum fed sedentary (Con), sedentary food restricted to 40% Con intake (R-Sed), or treadmill exercised (20 m/min, 1 h/day, 6 day/wk) food restricted to 40% Con intake (R-Ex). Food restriction was for 3 wk followed by 5 wk of refeeding. This was repeated for a second cycle. During restriction, body weight decreased by 30% in R-Sed and by 33% in R-Ex than in R-Sed, fat regain was greater in R-Sed. By week 3 of refeeding, total caloric consumption did not differ. However, fat selection increased in R-Sed (56% kcal) vs. R-Ex (30%) and Con (35%). Fat selection in R-Sed increased further during cycle 2 (73% kcal). Resting oxygen consumption decreased during food restriction in R-Sed and R-Ex. After refeeding, resting metabolic rate in R-Ex was significantly greater than in R-Sed. In conclusion, weight cycling increases dietary fat selection and adiposity. Exercise mitigates this effect.