Nonalcoholic steatohepatitis (NASH) is hepatic inflammation caused by a buildup of fat in the liver. This study was designed to examine whether the NASH-associated increase in hepatic TNF-α mRNA expression and serum TNF-α, and decrease in hepatic PPARα mRNA expression in rats secondary to 12-week consumption of a high-fat diet would be attenuated with concurrent exercise. A total of 28 male Sprague-Dawley strain rats were randomly assigned into four groups: standard diet without (C, n = 6) and with (E, n = 7) concurrent exercise; and high-fat diet without (H, n = 8) and with (HE, n = 7) concurrent exercise. The mean daily energy intake during the intervention period resulting from the standard and high-fat diets was approximately 82 kcal and 95 kcal, respectively. Swimming exercise was carried out in the E and HE groups for 12 weeks. The initial swimming duration of 30 minutes was progressively increased by 10 min·d −1 to 90 minutes by the end of the fourth week, which then remained unchanged. NASH revealed by histological activity index, which occurred in the H but not the C group, was alleviated in the HE group. Moreover, the upregulation of hepatic TNF-α mRNA expression and serum TNF-α, and downregulation of hepatic PPARα mRNA expression, which were shown in the H group, were attenuated in the HE group. Such findings suggest that long-term exercise carried out concurrently with consumption of a high-fat diet could alleviate high-fat diet-induced NASH. These may be partly attributable to the attenuation of hepatic TNF-α overexpression and the upregulation of hepatic PPARα mRNA expression.