Early life, covering childhood and adolescence in humans, is an important period of brain development and maturation. Experimental works in rodents have shown that high-caloric diets are particularly detrimental to young rats, affecting cognition. We studied the effects of two different high-caloric diets, prevalent in human adolescents, on male Wistar rats aged 4 weeks at the beginning of the experiment. Rats were randomly allocated to control (C, n = 10), high-sugar diet (HS, n = 10) and cafeteria diet (CAF, n = 10) groups and fed accordingly for 8 weeks. At the end of this period, behavioral tests were performed to analyze (1) anxiety behavior in the elevated plus-maze and open field tests, (2) learning and memory processes in the Morris water maze and novel object recognition test, (3) fear response in the fear conditioning test, and (4) depression state in the forced swim test. We also examined neurogenesis in the dentate gyrus using the marker of neuroproliferation doublecortin (DCX). Our results show that CAF rats have impaired spatial learning and memory and increased anxiety, without changes in the remaining aspects of behavior, associated with a reduction of the total number of DCX-immunoreactive cells in the subgranular layer of the dentate gyrus. Conversely, HS rats displayed no changes in behavior and neurogenesis. These data demonstrate that diets rich in saturated fats and sugar are more detrimental for juvenile rats than diets with high sugar content in what concerns their effects in anxiety-related behaviors, spatial learning and memory, and neurogenesis. These findings may help explain the cognitive disturbances observed in obese human adolescents, who consume high-caloric diets.