Regular aerobic exercise, independently of weight loss, improves metabolic and anti-inflammatory states, and can be regarded as beneficial in counteracting obesity-induced low-grade inflammation. However, it is still unknown how exercise alters immunometabolism in a context of dietary changes. Agonists of the Peroxisome Proliferator Activated-Receptor beta/delta (PPARβ/δ) have been studied this last decade as "exercise-mimetics", which are potential therapies for metabolic diseases. In this study, we address the question of whether PPARβ/δ agonist treatment would improve the immunometabolic changes induced by exercise in diet-induced obese female mice, having switched from a high fat diet to a normal diet. 24 mice were assigned to groups according to an 8-week exercise training program and/or an 8-week treatment with 3 mg/kg/day of GW0742, a PPARβ/δ agonist. Our results show metabolic changes of peripheral lymphoid tissues with PPARβ/δ agonist (increase in fatty acid oxidation gene expression) or exercise (increase in AMPK activity) and a potentiating effect of the combination of both on the percentage of anti-inflammatory Foxp3+ T cells. Those effects are associated with a decreased visceral adipose tissue mass and skeletal muscle inflammation (TNF-α, Il-6, Il-1β mRNA level), an increase in skeletal muscle oxidative capacities (citrate synthase activity, endurance capacity), and insulin sensitivity. We conclude that a therapeutic approach targeting the PPARβ/δ pathway would improve obesity treatment.