The objective of this study was to examine the effect of 16 weeks of aerobic exercise training on the expression of 18 genes, measured by RT-PCR and selected for their role in chronic inflammation, oxidative stress, and adipocyte metabolism in four adipose tissue depots in a pig model of familial hypercholesterolemia (FH) with coronary artery disease (CAD): subcutaneous adipose tissue (SAT), intra-abdominal (visceral) adipose tissue (IAAT), peri-coronary epicardial adipose tissue (cEAT) and peri-myocardial epicardial adipose tissue (mEAT). Results revealed that aerobic exercise training increased the mass of mEAT but not cEAT at the same time as it reduced the inflammatory response in mEAT but not cEAT. Furthermore, exercise did not downregulate inflammatory and redox genes in IAAT except for prostaglandin D2 synthase and superoxide dismutase. However, exercise did lower expression of adiponectin, fatty acid binding protein 4 (FABP4), and perilipin mRNAs in IAAT, but not in cEAT and mEAT. As for SAT, it did not respond to aerobic exercise training except for vascular endothelial growth factor a mRNA that went up and interleukin-6 mRNA that went down. Thus, it appears that the two EAT components seem to differ metabolically since exercise was found to reduce the inflammatory response in mEAT but not in cEAT. Also, cEAT and IAAT showed a similar inflammatory response but different metabolic mRNA responses to exercise. In contrast, SAT has a distinct response to exercise profile compared to IAAT and EAT.