This study aimed to evaluate the effects of exercise training on triglyceride deposition and the expression of musclin and glucose transporter 4 (GLUT4) in a rat model of insulin resistance. Thirty male Sprague-Dawley rats (8 weeks old, weight 160±10 g) were fed a high-fat diet (40% calories from fat) and randomly divided into high-fat control group and swimming intervention group. Rats fed with standard food served as normal control. We found that 8-week swimming intervention significantly decreased body weight (from 516.23±46.27 to 455.43±32.55 g) and visceral fat content (from 39.36±2.50 to 33.02±2.24 g) but increased insulin sensitivity index of the rats fed with a high-fat diet. Moreover, swimming intervention improved serum levels of TG (from 1.40±0.83 to 0.58±0.26 mmol/L) and free fatty acids (from 837.80±164.25 to 556.38±144.77 μEq/L) as well as muscle triglycerides deposition (from 0.55±0.06 to 0.45±0.02 mmol/g) in rats fed a high-fat diet. Compared with rats fed a standard food, musclin expression was significantly elevated, while GLUT4 expression was decreased in the muscles of rats fed a high-fat diet. In sharp contrast, swimming intervention significantly reduced the expression of musclin and increased the expression of GLUT4 in the muscles of rats fed a high-fat diet. In conclusion, increased musclin expression may be associated with insulin resistance in skeletal muscle, and exercise training improves lipid metabolism and insulin sensitivity probably by upregulating GLUT4 and downregulating musclin.