This study aimed to explore the effect of exercise and cold exposure on insulin sensitivity and the level of serum free fatty acids (FFA) in diet-induced obese rats. Sixty-four diet-induced obese rats were randomly assigned to eight groups: room temperature-sedentary, room temperature-exercise, acute cold exposure-sedentary, acute cold exposure-exercise, intermittent cold exposure-sedentary, intermittent cold exposure-exercise, sustained cold exposure-sedentary, and sustained cold exposure-exercise. After the interventions, the homeostatic model assessment for insulin resistance (HOMA-IR) values, the level of serum FFA, subcutaneous fat ratio (SFR) and visceral fat ratio, enzyme activities of adipose triglyceride lipase, and lipoprotein lipase (LPL) in inguinal adipose tissue, and protein expression of PGC1-α and p38 MAPK in skeletal muscle were investigated. We found that exercise ( P = 0.0136) and cold exposure ( P < 0.0001) reduced HOMA-IR values independently. Exercise reduced serum FFA ( P = 0.0041), whereas cold exposure did not affect them. Moreover, the HOMA-IR values were positively correlated with the serum FFA levels ( r = 0.32, P = 0.01). SFR or visceral fat ratio was coordinately reduced by the interaction (for SFR, P = 0.0015) or opposing main effects between or of cold exposure and exercise, supporting the reduction of serum FFA. However, cold exposure or exercise increased the activity of adipose triglyceride lipase and LPL independently or interactively (for LPL, P = 0.0143), suggesting an increase in serum FFA. Finally, cold exposure and exercise enhanced protein expression of PGC1-α and p38 MAPK independently or interactively (for p38 MAPK, P = 0.0226), suggesting increased uptake and oxidation of serum FFA in muscle. These results suggest that the combination of exercise and cold exposure may result in more serum FFA utilization than production and thus lead to reduced serum FFA and increased insulin sensitivity.