In this study, we aimed to determine the preventive and therapeutic effects of swimming on insulin resistance in high-fat-fed rats. Sprague-Dawley rats were divided into 4 groups and fed for 8 weeks as follows: i) the control (Con) group fed a control diet; ii) the high-fat (HF) group fed a high-fat diet; iii) the treatment (ST) group fed a high-fat diet and trained with swimming from the 4th week; and iv) the prevention (SP) group fed a high-fat diet and trained with swimming from the 1st week of the experiment. A hyperinsulinemic-euglycemic clamp was used to evaluate the insulin sensitivity of the rats. The ultrastructure of the liver cells was observed by electron microscopy. Hepatic lipid accumulation was observed by Oil Red 0 staining. Quantitative RT-PCR and western blot analysis were performed to detect the expression of proteins related to lipid metabolism, energy metabolism and insulin signaling transduction. After 8 weeks of feeding, compared with the Con group, the glucose infusion rate (GIR) was significantly decreased; a significant lipid accumulation was observed in the liver, while the ultrastructure of the liver cells was damaged in the HF group. Proteins related to lipid metabolism in the liver and skeletal muscle, including FAT and FABP were upregulated, while CPT1 and PPAR levels were downregulated in the HF group. The levels of the energy-metabolism-related molecules, AMPK alpha 2, PGCl alpha, PGC1 beta and MFN2 were downregulated in skeletal muscle in the HF group. The expression levels of insulin signaling transduction molecules, INSR, IRS1, PI3K/p85, AKT2 and GLUT4, as well as the phosphorylation levels of INSR, IRS1, PI3K/p85 and AKT2 were lower in skeletal muscles in the HF rats. Compared with HF group, the GIR levels were significantly increased in the ST and SP groups. Lipid accumulation and damage to the ultrastructure of the liver cells were improved in both groups. The expression of molecules related to lipid metabolism in the liver and skeletal muscle, energy metabolism in skeletal muscle and insulin signaling transduction were all markedly upregulated. In conclusion, swimming can effectively improve insulin sensitivity and even prevent insulin resistance by affecting the expression of proteins related to lipid metabolism, energy metabolism and insulin signaling transduction in rats fed a high-fat diet.