Exercise is an effective therapy against the metabolic syndrome. However, the molecular pathways underlying the advantageous effects of exercise are elusive. Glucagon receptor signaling is essential for exercise benefits, and recent evidence indicates that a downstream effector of glucagon, fibroblast growth factor 21 (FGF21), is implicated in this response. Therefore, we tested the hypothesis that FGF21 action is necessary in mediating metabolic effects of exercise. We utilized acute exhaustive treadmill exercise in Wistar rats to identify a putative, concomitant increase in plasma glucagon and FGF21 with the increase in glucose and lactate following exercise. To test the necessity of FGF21 action in the exercise response, we exposed FGF21 congenitally deficient mice (Fgf21/) and their wild-type (Wt) littermates to chronic high-fat (HF) feeding and inoperable (sedentary) or operable (exercise) voluntary running wheels. Physiological tests were performed to assess the role of FGF21 in the beneficial effect of exercise on glucose metabolism. Wt and Fgf21/ littermates exhibited similar running behavior, and exercise was effective in suppressing weight and fat mass gain and dyslipidemia independently of genotype. However, exercise failed to positively affect hepatic triglyceride content and glucose tolerance in HF diet-fed Fgf21/ mice. Furthermore, Fgf21/ mice exhibited an impaired adaptation to exercise training, including reduced AMP-activated protein kinase activity in skeletal muscle. This study demonstrates that FGF21 action is necessary to achieve the full metabolic benefits of exercise during chronic HF feeding.