Pregnant individuals who overeat are more likely to predispose their fetus to the development of metabolic disorders in adulthood. Physical training is a prevention and treatment interventional strategy that could treat these disorders, since it improves metabolism and body composition. This study assessed the protective effect of physical exercise against possible metabolic changes in generations F1 and F2, whose mothers were subjected to a high-sugar/high-fat (HS/HF) diet. Wistar rats belonging to generation F0 were distributed into four groups (n = 10): sedentary control (CSed), exercised control (CExe), sedentary HS/HF diet (DHSed) and exercised HS/HF diet (DHExe). From 21 to 120 days of age, maintained during pregnancy and lactation period, CSed/CExe animals received standard feed and DHSed/DHExe animals a HS/HF diet. Animals from the CExe/DHExe underwent physical training from 21 to 120 days of age. Male and female F1 and F2 received a normocaloric feed and did not perform any physical training, categorized into four groups (n = 10) according to the maternal group to which they belonged to. An increase in body weight, adiposity and glucose, and a change in lipid profile in F0 were observed, while exercise reduced the biochemical parameters comparing DHSed with DHExe. Maternal exercise had an effect on future generations, reducing adiposity, glucose and triglyceride concentrations, and preventing deleterious effects on glucose tolerance. Maternal overeating increased health risks both for mother and offspring, demonstrating that an HS/HF diet intake promotes metabolic alterations in the offspring. Importantly, the physical training performed by F0 proved to be protective against such effects.