Exercise improves health and well-being across diverse organ systems, and elucidating mechanisms underlying the beneficial effects of exercise can lead to new therapies. Here, we show that transforming growth factor-β2 (TGF-β2) is secreted from adipose tissue in response to exercise and improves glucose tolerance in mice. We identify TGF-β2 as an exercise-induced adipokine in a gene expression analysis of human subcutaneous adipose tissue biopsies after exercise training. In mice, exercise training increases TGF-β2 in subcutaneous white adipose tissue (scWAT) and serum, and its secretion from fat explants. Transplanting scWAT from exercise-trained wild-type mice, but not from adipose-tissue-specific Tgfb2^−/− mice, into sedentary mice improves glucose tolerance. TGF-β2 treatment reverses the detrimental metabolic effects of high-fat feeding in mice. Lactate, a metabolite released from muscle during exercise, stimulates TGF-β2 expression in human adipocytes. Administration of the lactate-lowering agent dichloroacetate during exercise training in mice decreases circulating TGF-β2 levels and reduces exercise-stimulated improvements in glucose tolerance. Thus, exercise training improves systemic metabolism through inter-organ communication with fat via a lactate–TGF-β2 signaling cycle.