It is well known that appropriate aerobic exercise can effectively alleviate fatty liver and enhance brain function. The concept of multi-organ crosstalk coordinating disease progression has become the current research hot topic. However, there remains an urgent need to elucidate its specific mechanisms. This study aimed to explore the impact of a high-fat diet (HFD) on liver health and cognitive function, and to further uncover the regulatory effect of aerobic exercise by liver-specific activating transcription factor 3 (Atf3) knockout (ATF3cKO) mice in a “liver-brain” axis mode. The 5-week-old C57BL/6 and ATF3cKO mice were fed with HFD for 32 weeks, and sequentially subjected to aerobic exercise intervention at the 20th week for another 12 consecutive weeks. Meanwhile, C57BL/6 mice were provided with a normal diet as the control group. The functional parameters of liver and brain of all mice were assessed. Cognitive capacity of all mice was assessed by the Morris water maze (MWM). Inflammatory factors in the serum and brain of mice were quantified using enzyme-linked immunosorbent assay (ELISA), and the expression of inflammasomes was detected by immunohistochemistry (IHC). Additionally, the activation of nuclear factor-κB (NF-κB) and phosphoinositide 3-kinase (PI3K) signal pathways was analyzed by Western blotting. In this study, HFD impaired hepatic and brain functions, while aerobic exercise and liver-specific Atf3 knockout suppressed inflammatory factors in the peripheral circulation through hepatoprotective mechanisms, thereby attenuating cerebral inflammation and preserving neurological integrity, as well as mitigating HFD-induced cognitive decline.