Exercise and dexamethasone (DEX) are known to have opposite effects on peripheral insulin resistance. However, their effects and mechanism on brain glucose metabolism have been poorly defined. We investigated the modulation of the hypothalamo-pituitary-adrenal (HPA) axis and insulin/leptin signaling associated with glucose utilization in the brains of 90% pancreatectomized diabetic rats, which had been administered two dosages of DEX and exercised for 8 weeks. The data revealed that the administration of a high dose (0.1 mg/kg body weight/day) of DEX (HDEX) attenuated insulin signaling in the cerebral cortex and hypothalamus, whereas exercise potentiated their insulin signaling along with induction of IRS2 expression. In parallel with the modulated signaling, glucose utilization, such as glycogen storage and glycogen synthase activity, was suppressed by DEX in the cortex and hypothalamus, while exercise offset the DEX effects. Despite a decrease in epididymal fat mass, HDEX increased serum leptin levels, possibly due to an activated HPA axis, while exercise suppressed the increment. However, DEX reduced leptin-induced STAT3 phosphorylation in the cortex and hypothalamus, and it increased AMP-activated protein kinase (AMPK) phosphorylation only in the hypothalamus. Exercise reversed the phosphorylation of STAT3 and AMPK which had been modulated by DEX. In conclusion, exercise improves insulin and leptin signaling in the cerebral cortex and hypothalamus of diabetic rats exacerbated with HDEX, contributing to the regulation of body weight and glucose homeostasis.