Risk avoidance behaviors are essential for survival. "Uncontrollable" risk-taking behaviors in animals or humans may have severe adverse consequences. In humans, a large proportion of psychiatric disorders are accompanied by impairments in risk avoidance. Obesity is associated with psychiatric disorders. Peroxisome proliferator-activated receptor α (PPARα) takes part in regulating lipid metabolism and neuronal function. Here, we investigated the effect of high-fat diet (HFD)-induced obesity on risk avoidance and the role of PPARα in this behavior. Male PPARα-null (KO) mice and wild-type (WT) mice were assigned to four different groups: WT-CON and KO-CON (normal diet); WT-HFD and KO-HFD (high fat diet). The HFD began at week 6 and was continued until sampling. A series of behavioral tests were performed at week 11. We found that WT but not KO mice fed with a HFD exhibited weight gain and risk avoidance impairment, compared with the mice fed with a normal diet. The staining of c-Fos revealed that the hippocampus was the main brain region involved in risk avoidance behavior. Moreover, biochemical analysis suggested that the decreased levels of the brain-derived neurotrophic factor (BDNF) in the hippocampus might contribute to risk avoidance impairment induced by a HFD. These results indicated that PPARα is involved in HFD-induced risk avoidance impairment via the regulation of hippocampal BDNF.