The endocannabinoid system is dysregulated during obesity in tissues involved in the control of food intake and energy metabolism. We examined the effect of chronic exercise on the tissue levels of endocannabinoids (eCBs) and on the expression of genes coding for cannabinoid receptor 1 (CB1) and cannabinoid receptor 2 (CB2) (Cnr1 and Cnr2, respectively) in the subcutaneous (SAT) and visceral adipose tissues and in the soleus and extensor digitorim longus (EDL) muscles, in rats fed with standard or high-fat diet. Twenty-eight male Wistar rats were placed on high-fat diet or standard diet (HFD and Ctl groups, respectively) during 12 weeks whereafter half of each group was submitted to an exercise training period of 12 weeks (HFD + training and Ctl + training). Tissue levels of eCBs were measured by LC-MS while expressions of genes coding for CB1 and CB2 receptors were investigated by qPCR. High-fat diet induced an increase in anandamide (AEA) levels in soleus and EDL (p < 0.02). In soleus of the HFD group, these changes were accompanied by elevated Cnr1 messenger RNA (mRNA) levels (p < 0.05). In EDL, exercise training allowed to reduce significantly this diet-induced AEA increase (p < 0.005). 2-Arachidonoylglycerol (2-AG) levels were decreased and increased by high-fat diet in SAT and EDL, respectively (p < 0.04), but not affected by exercise training. Unlike the HFD + training group, 2-AG levels in soleus were also decreased in the HFD group compared to Ctl (p < 0.04). The levels of eCBs and Cnr1 expression are altered in a tissue-specific manner following a high-fat diet, and chronic exercise reverses some of these alterations.