Herein, we studied whether sustained exercise positively affects growth of gilthead sea bream by alterations in a) plasma concentrations of insulin and IGF-I, b) signaling pathways in muscle, or c) regulation of lipid metabolism. Specifically, we evaluated the effects of moderated swimming (1.5 body lengths per second; BL/s) on the circulating concentrations of insulin and IGF-I, morphometric parameters, and expression of genes related to lipid metabolism in gilthead sea bream (80–90 g BW). Exercise increased the specific growth rate (P < 0.05) and reduced the hepatosomatic index (P = 0.006). Plasma IGF-I concentrations increased in exercised fish (P = 0.037), suggesting a role for this endocrine factor in the control of muscular growth and metabolic homeostasis during swimming. The observed decrease in plasma insulin concentrations (P = 0.016) could favor the mobilization of tissue reserves in exercised fish. In this sense, the increase in liver fatty acid content (P = 0.041) and the changes in expression of peroxisome proliferator-activated receptors PPARα (P = 0.017) and PPARγ (P = 0.033) indicated a hepatic lipid mobilization. Concentration of glycogen in both white and red muscles was decreased (P = 0.021 and P = 0.017, respectively) in exercised (n = 12) relative to control (n = 12) gilthead sea bream, whereas concentrations of glucose (P = 0.016) and lactate (P = 0.0007) were decreased only in red muscle, indicating the use of these substrates. No changes in the glucose transporter and in lipoprotein lipase mRNA expression were found in any of the tissues studied. Exercised sea bream had decreased content of PPARβ mRNA in white and red muscle relative to control sea bream expression (P = 0.001 and P = 0.049, respectively). Mitogen-activated protein kinase phosphorylation was significantly down-regulated in both white and red muscles of exercised sea bream (P = 0.0374 and P = 0.0371, respectively). Tumor necrosis factor-α expression of white muscle was down-regulated in exercised gilthead sea bream (P = 0.045). Collectively, these results contribute to the knowledge base about hormonal regulation of growth and lipid metabolism in exercised gilthead sea bream.