Regular exercise is a good non-pharmacological treatment of metabolic syndrome in that it improves obesity, diabetes, and inflammation. The 72 kDa extracellular heat shock protein (eHsp72) is released during exercise, thus stimulating the inflammatory responses. The aim of the present work was to evaluate the effect of regular exercise on the eHsp72-induced release of IL-1β, IL-6, and TNFα by macrophages from genetically obese Zucker rats (fa/fa) (ObZ), using lean Zucker (LZ) rats (Fa/fa) to provide reference values. ObZ presented a higher plasma concentration of eHsp72 than LZ, and exercise increased that concentration. In response to eHsp72, the macrophages from ObZ released less IL-1β and TNFα, but more IL-6, than macrophages from LZ. While eHsp72 stimulated the release of IL-1β, TNFα, and IL-6 in the macrophages from healthy LZ (with respect to the constitutive release), it inhibited the release of IL-1β and IL-6 in macrophages from ObZ. The habitual exercise improved the release of inflammatory cytokines by macrophages from ObZ in response to eHsp72 (it increased IL-1β and TNFα, and decreased IL-6), tending to values closer to those determined in healthy LZ. A deregulated macrophage inflammatory and stress response induced by eHsp72 underlies MS, and this is improved by habitual exercise.