Consumption of high fat diet (HFD) increases risk of cognitive impairment and memory deficit by elevation of oxidative stress in the brain. In this study, we investigated the protective effects of krill oil (KO) against HFD-induced cognitive impairment in mice. The mice were fed with HFD for 10 weeks, and then KO was orally administered at doses of 100, 200, or 500 mg/kg/d for 4 weeks. To evaluate the cognitive abilities, we carried out the behavior tests, such as T-maze, novel object recognition test, and Morris water maze test. The HFD-induced cognitive impairment mice showed impairments in both spatial memory and novel object cognitive abilities. However, administration of KO at doses of 100, 200, or 500 mg/kg/d improved spatial memory ability and novel object cognition by increase of the exploration of new route and novel object. In addition, KO-administered group improved learning and memory abilities, showing shorter latency to reach hidden platform compared with control group. Furthermore, levels of reactive oxygen species (ROS), lipid peroxidation, and nitric oxide (NO) were significantly elevated by consumption of HFD, indicating that consumption of HFD induces oxidative stress in the brain. However, administration of KO attenuated oxidative stress by decrease of the ROS levels, lipid peroxidation, and NO. This study suggests that KO improves HFD-induced cognitive impairment by attenuation of oxidative stress in the brain. Therefore, KO may play as a promising agent in treatment and prevention of HFD-induced cognitive impairment.