This study aimed to investigate the expression of PGC-1α/FNDC5/irisin induced by attenuation of high-fat diet (HFD)-induced bone accrual and determine whether swimming exercise could improve attenuating bone accrual through this mechanism. Eight-week-old Sprague–Dawley rats were divided into two groups for the first 8 weeks: CD, control diet (n = 10); and HFD, high-fat diet (n = 20). HFD-fed rats were again divided into two groups for further 8 weeks treatment: HFD (n = 10) and HFD with swimming exercise (HEx, n = 10). During this time, the CD group continuously fed the normal diet. Throughout the 16 weeks study period, the rats were weighed once every week. Samples were collected for analysis after last 8 weeks of treatment in the 16 weeks. Morphological and structural changes of the femur and tibial bone were observed using micro-CT, and Osteocalcin, CTX-1 and irisin levels in the blood were measured by enzyme-linked immunosorbent assay. The expression of IL-1, β-catenin, FNDC5 and PGC-1α, in the femur were evaluated by immunohistochemistry. Eight weeks of HFD increased body weight and epididymal fat mass and decreased bone mineral density (BMD). Subsequent 8 weeks of swimming exercise improved obesity, BMD, bone microstructure, and bone metabolic factors in the HEx group. The irisin levels in the blood and the expressions of FNDC5 and PGC-1α in the bone were significantly lower in the HFD group than in the CD group, but elevated in the HEx group than in the HFD group. Swimming exercise is effective in improving obesity-worsened bone health and increases blood irisin and bone PGC-1α and FNDC5 levels.