Glucagon‐like peptide‐1 receptor (GLP‐1R) agonists such as exendin‐4 (Ex‐4) affect eating and metabolism and are potential candidates for treating obesity and type II diabetes. In the present study, we tested whether vagal afferents mediate the eating‐inhibitory and avoidance‐inducing effects of Ex‐4. Subdiaphragmatic vagal deafferentation (SDA) blunted the short‐term (< 1 h) but not long‐term eating‐inhibitory effect of i.p.‐infused Ex‐4 (0.1 μg/kg) in rats. A dose of 1 μg/kg Ex‐4 reduced 0.5, 1, 2 and 4 h cumulative food intake in SDA and sham‐operated rats to a similar extent. Paradoxically, SDA but not sham rats developed a conditioned flavour avoidance (CFA) after i.p. Ex‐4 (0.1 μg/kg). SDA completely blunted the induction of c‐Fos expression by Ex‐4 in the hypothalamic paraventricular nucleus. Ex‐4, however, increased the number of c‐Fos expressing cells, independent of intact vagal afferents, in the nucleus accumbens and in the central nucleus of the amygdala, the lateral external parabrachial nucleus, the caudal ventrolateral medulla and the dorsal vagal complex. These data suggest that intact vagal afferents are only necessary for the full expression of the early satiating effect of Ex‐4 but not for later eating‐inhibitory actions, when circulating Ex‐4 might reach the brain via the circulation. Our data also dissociate the satiating and avoidance‐inducing effects of the low Ex‐4 dose tested under our conditions and suggest that vagal afferent signalling may protect against the development of CFA. Taken together, these findings reveal a complex role of vagal afferents in mediating the effects of GLP‐1R activation on ingestive behaviour.