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The physiological and endocrine benefits of sustained exercise in fish were largely demonstrated, and this work examines how the swimming activity can modify the effects of two diets (high-protein, HP: 54% proteins, 15% lipids; high-energy, HE: 50% proteins, 20% lipids) on different growth performance markers in gilthead sea bream juveniles. After 6 weeks of experimentation, fish under voluntary swimming and fed with HP showed significantly higher circulating growth hormone (GH) levels and plasma GH/insulin-like growth-1 (IGF-1) ratio than fish fed with HE, but under exercise, differences disappeared. The transcriptional profile of the GH-IGFs axis molecules and myogenic regulatory factors in liver and muscle was barely affected by diet and swimming conditions. Under voluntary swimming, fish fed with HE showed significantly increased mRNA levels of capn1, capn2, capn3, capns1a, n3, and ub, decreased gene and protein expression of Ctsl and Mafbx and lower muscle texture than fish fed with HP. When fish were exposed to sustained exercise, diet-induced differences in proteases’ expression and muscle texture almost disappeared. Overall, these results suggest that exercise might be a useful tool to minimize nutrient imbalances and that proteolytic genes could be good markers of the culture conditions and dietary treatments in fish.