Epidemiological data suggest that exercise training protects from cancer independent of BMI. Here, we aimed to elucidate mechanisms involved in voluntary wheel running-dependent control of tumor growth across chow and high-fat diets. Access to running wheels decreased tumor growth in B16F10 tumor-bearing on chow (− 50%) or high-fat diets (− 75%, p < 0.001), however, tumor growth was augmented in high-fat fed mice (+ 53%, p < 0.001). Tumor growth correlated with serum glucose (p < 0.01), leptin (p < 0.01), and ghrelin levels (p < 0.01), but not with serum insulin levels. Voluntary wheel running increased immune recognition of tumors as determined by microarray analysis and gene expression analysis of markers of macrophages, NK and T cells, but the induction of markers of macrophages and NK cells was attenuated with high-fat feeding. Moreover, we found that the regulator of innate immunity, ZBP1, was induced by wheel running, attenuated by high-fat feeding and associated with innate immune recognition in the B16F10 tumors. We observed no effects of ZBP1 on cell cycle arrest, or exercise-regulated necrosis in the tumors of running mice. Taken together, our data support epidemiological findings showing that exercise suppresses tumor growth independent of BMI, however, our data suggest that high-fat feeding attenuates exercise-mediated immune recognition of tumors.