Diet-induced obesity, insulin resistance, impaired glucose tolerance, chronic inflammation and oxidative stress represent the main features of type 2 diabetes mellitus. The present study was conducted to examine the efficacy and mechanisms of shrimp oil on glucose homeostasis in obese rats. Male CD rats fed a high-fat diet (60 kcal% fat) and 20% fructose-drinking water were divided into four groups and treated with the dietary replacement of 0, 10% (SO10), 15% (SO15), or 20% (SO20) of lard with shrimp oil for 10 weeks. Age-matched rats fed a low-fat diet (10 kcal% fat) were used as the normal control. Rats on the high-fat diet showed impaired (p < 0.05) glucose tolerance and insulin resistance compared with rats fed the low-fat diet. Shrimp oil improved (p < 0.05) oral glucose tolerance, insulin response and homeostatic model assessment-estimated insulin resistance index, decreased serum insulin, leptin and hemoglobin A1c and free fatty acids, and increased adiponectin. Shrimp oil also increased (p < 0.05) antioxidant capacity and reduced oxidative stress and chronic inflammation. The results demonstrated that shrimp oil dose-dependently improved glycemic control in obese rats through multiple mechanisms.