Purpose Physical exercise (PE) combined with nutritional approaches has beneficial effects that are widely advocated to improve metabolic health. Here we used voluntary PE together with vitamin D (VD) supplementation, which has already shown beneficial effects in primary and tertiary prevention in obese mice models, to study their combined additive effects on body weight management, glucose homeostasis, metabolic inflammation, and liver steatosis as key markers of metabolic health. Methods Ten-week-old male C57BL/6J mice were fed a high-fat/sucrose (HFS) diet for 10 wk, then assigned to a 15-wk intervention period with PE, VD supplementation, or both PE and VD supplementation. Morphological, histological, and molecular phenotype data were characterized. Results The HFS-induced increases in body mass, adiposity, and adipocyte hypertrophy were improved by PE but not by VD supplementation. The HFS-induced inflammation (highlighted by chemokines mRNA levels) in inguinal adipose tissue was decreased by PE and/or VD supplementation. Furthermore, the intervention combining PE and VD showed additive effects on restoring insulin sensitivity and improving hepatic steatosis, as demonstrated through a normalization of size and number of hepatic lipid droplets and triglyceride content and a significant molecular-level decrease in the expression of genes coding for key enzymes in hepatic de novo lipogenesis. Conclusions Taken together, our data show beneficial effects of combining PE and VD supplementation on obesity-associated comorbidities such as insulin resistance and hepatic disease in mice. This combined exercise-nutritional support strategy could prove valuable in obesity management programs.