High-intensity interval training (HIIT) and linseed oil (LO) supplementation are effective strategies to reduce obesity-induced oxidative stress. Our aim was to determine whether the HIIT + LO combination prevents obesity-induced oxidative stress in high fat diet (HFD)-fed rats. HFD-fed 8-week-old, male, Wistar rats were subdivided in four groups: HFD, LO (2% of sunflower oil replaced with 2% of LO in the HFD), HIIT (4 days/week for 12 weeks), and HIIT + LO. Wistar rats fed a low-fat diet (LFD) were used as controls. Epididymal and subcutaneous adipose tissue, gastrocnemius muscle, liver, and plasma samples were collected to measure oxidative stress markers (AOPP, oxLDL), antioxidant (SOD, CAT, and GPx activities) and pro-oxidant (NOx and XO) enzyme activities. Compared with the LFD, the HFD altered the pro/antioxidant status in different tissues (increase of AOPP, oxLDL, SOD and catalase activities in plasma, and SOD activity increase in liver and decrease in adipose tissues) but not in gastrocnemius. LO upregulated CAT activity and decreased NOx in liver. HIIT alleviated HFD negative effects in liver by reducing SOD and NOx activities. Moreover, the HIIT + LO combination potentiated SOD activity upregulation in subcutaneous tissue. HIIT and LO supplementation have independent beneficial effects on the pro/antioxidant balance. Their association promotes SOD activity in subcutaneous adipose tissue.