Cognitive function is impaired by increased consumption of a high-fat diet (HFD). Also, HFD consumption can alter hydrogen sulfide (HS) metabolism. HS is an important signaling molecule with antioxidant effects that regulates multiple functions in the brain. In the present study, we investigated the effect of sodium hydrosulfide (NaHS, an HS donor) on cognitive impairment and oxidative stress changes induced by HFD consumption. Following 11 weeks of HFD regimes in Wistar rats, elevated plus-maze (EPM), Morris water maze (MWM), and passive avoidance learning (PAL) tasks were used to evaluate the anxiety-like behavior and spatial and passive learning and memory, respectively. Daily intraperitoneal injection of NaHS was done during the dietary regimen. Serum and hippocampal oxidative stress biomarkers (malondialdehyde (MDA), total antioxidant capacity (TAC), and total oxidant status (TOS)) were measured. We demonstrated that treatment with NaHS ameliorated the impairment in the retrieval of reference memory and passive avoidance learning. Moreover, HFD increased anxiety-like behavior, which was reversed by the administration of NaHS. Additionally, the increase in MDA and TOS and the decrease in TAC induced by HFD in the serum and hippocampus were significantly reduced following administration of NaHS. These results indicate that NaHS could significantly ameliorate HFD-induced spatial and passive learning and memory impairment and anxiety-like behavior, at least in part, via its antioxidant activities. Therefore, the administration of NaHS can provide a therapeutic approach for HFD-induced memory impairment.