Pharmacological approaches to reduce obesity have not resulted in dramatic reductions in the risk of coronary heart disease (CHD). Exercise, in contrast, reduces CHD risk even in the setting of obesity. Cholesteryl Ester Transfer Protein (CETP) is a lipid transfer protein that shuttles lipids between serum lipoproteins and tissues. There are sexual-dimorphisms in the effects of CETP in humans. Mice naturally lack CETP, but we previously reported that transgenic expression of CETP increases muscle glycolysis in fasting and protects against insulin resistance with high-fat diet (HFD) feeding in female but not male mice. Since glycolysis provides an important energy source for working muscle, we aimed to define if CETP expression protects against the decline in exercise capacity associated with obesity. We measured exercise capacity in female mice that were fed a chow diet and then switched to a HFD. There was no difference in exercise capacity between lean, chow-fed CETP female mice and their non-transgenic littermates. Female CETP transgenic mice were relatively protected against the decline in exercise capacity caused by obesity compared to WT. Despite gaining similar fat mass after 6 weeks of HFD-feeding, female CETP mice showed a nearly two-fold increase in run distance compared to WT. After an additional 6 weeks of HFD-feeding, mice were subjected to a final exercise bout and muscle mitochondria were isolated. We found that improved exercise capacity in CETP mice corresponded with increased muscle mitochondrial oxidative capacity, and increased expression of peroxisome proliferator-activated receptor gamma coactivator 1-alpha (PGC-1α). These results suggest that CETP can protect against the obesity-induced impairment in exercise capacity and may be a target to improve exercise capacity in the context of obesity.