Healthy diet and physical activity are associated with a lower cardiometabolic risk (CMR). Little is known about whether they interact to improve CMR. The purpose of the present study was to determine the synergistic associations of diet quality and physical activity energy expenditure (PAEE) on CMR factors. The present study was an a posteriori analysis of two cross-sectional studies on 124 inactive non-diabetic postmenopausal women with a BMI ≥ 27 kg/m2. The following factors were measured: diet quality (assessed by the Canadian Healthy Eating Index (C-HEI) from a 3 d food record); PAEE (doubly labelled water); body composition (dual-energy X-ray absorptiometry, computed tomography scan); lipoprotein profile (total, HDL- and LDL-cholesterol (HDL-C and LDL-C), non-HDL-C, total cholesterol:HDL-C, TAG, apoA1, apoB, apoA1:apoB and LDL-C:apoB); insulin sensitivity (homeostasis model assessment of insulin resistance and hyperinsulinaemic–euglycaemic clamp); inflammatory markers (high-sensitivity C-reactive protein (hs-CRP), haptoglobin, orosomucoid, IL-6 and leucocyte count). The association of the interaction PAEE × C-HEI and CMR factors was evaluated by hierarchical regressions. Fat mass-adjusted ANCOVA determined the interaction between PAEE and the C-HEI. In hierarchical regressions, the interaction PAEE × C-HEI was a correlate of more favourable values of HDL-C, apoB, apoA1:apoB and LDL-C:apoB ratios, and hs-CRP, while only PAEE was a negative correlate of haptoglobin. Compared with those in the low-PAEE/low-C-HEI group, women in the high-PAEE/high-C-HEI group had 10 % higher HDL-C, 13 % lower apoB, 11 % larger LDL particles and 28 % lower hs-CRP concentrations (P< 0·05). PAEE and the C-HEI have a synergistic association with the CMR profile. These results support the integration of both diet quality and physical activity in the management of CMR.