Diabetes Mellitus (DM) can damage the function of metabolic tissues, including the liver. Liver macrophages are the first responders to tissue damage or exercise. We sought to determine whether eight weeks of interval training (HIIT & MIIT) protect against diabetes-induced modulation of hepatic CD86 and CD206 expression associated with the amelioration of insulin resistance and inflammation in rats. Thirty rats were divided into six groups, including a control group, MIIT, HIIT, DM, DM + MIIT, and DM + HIIT (n = 5 in each group). Diabetes was induced using a combination of a high-fat diet (HFD) and STZ. Wistar rats in the exercise groups were subjected to moderate and high-intensity interval training for eight weeks. After sample collection, liver tissue was removed and weighed. Serum levels of TNFα, IL-6, TGFβ, and IL-10 were measured by ELISA. Protein expression of the immune markers CD86 and CD206 in liver tissue was determined by immunohistochemical staining. Induction of diabetes increased glycemic indices, insulin resistance, and liver injury enzymes, especially in DM and DM + HIIT groups (p < 0.05). Moreover, diabetic groups showed an increase in liver CD86 protein expression, an increase in TNFα, IL-6, and TGFβ serum levels, and a decrease in liver CD206 and serum IL-10 (p < 0.05). Doing exercise while being diabetic, especially MIIT, significantly reversed the aforementioned factors and reduced insulin resistance (p < 0.05), except IL-10). We concluded that performing exercise training specially MIIT by decreasing CD86 and increasing CD206 in the liver, followed by decreasing pro-inflammatory factors (TNFα, IL-6) caused the regulation of liver enzymes and insulin resistance in diabetic rats. Therefore, it seems that exercise training by regulating macrophage markers CD86 and CD206 can reduce damage to the insulin-signaling pathway by reducing pro-inflammatory cytokines.