A paternal high‐fat diet (HFD) impairs female rat offspring glucose tolerance, pancreatic morphology and insulin secretion. We examined whether only 4 weeks of exercise early in life could reprogram these negative effects. Male Sprague–Dawley rats consumed a HFD for 10 weeks before mating with chow‐fed dams. Female offspring remained sedentary or performed moderate intensity treadmill exercise (5 days week⁻¹, 60 min day⁻¹, 20 m min⁻¹) from 5 to 9 weeks of age. Paternal HFD impaired (P < 0.05) adult offspring whole body insulin sensitivity (i.p. insulin sensitivity test), as well as skeletal muscle ex vivo insulin sensitivity and TBC1D4 phosphorylation. It also lowered β‐cell mass and reduced in vivo insulin secretion in response to an i.p. glucose tolerance test. Early‐life exercise in offspring reprogrammed the negative effects of a paternal HFD on whole body insulin sensitivity, skeletal muscle ex vivo insulin‐stimulated glucose uptake and TBC1D4 phosphorylation and also increased glucose transporter 4 protein. However, early exercise did not normalize the reduced pancreatic β‐cell mass or insulin secretion. In conclusion, only 4 weeks of exercise early in life in female rat offspring reprograms reductions in insulin sensitivity in adulthood caused by a paternal HFD without affecting pancreatic β‐cell mass or insulin secretion.