(1) Background: Childhood obesity has become a main global health problem and active video games (AVG) could be used to increase energy expenditure. The aim of this study was to investigate the energy expenditure during an AVG intervention combined with exercise, differentiating by gender. (2) Methods: A total of 45 children with overweight or obesity (19 girls) performed an AVG intervention combined with exercise. The AVG used were the Xbox Kinect, Nintendo Wii, dance mats, BKOOL cycling simulator, and Nintendo Switch. The energy expenditure was estimated from the heart rate recorded during the sessions and the data from the individual maximal tests. (3) Results: The mean energy expenditure was 315.1 kilocalories in a one-hour session. Participants spent the most energy on BKOOL, followed by Ring Fit Adventures, Dance Mats, Xbox Kinect, and the Nintendo Wii, with significant differences between BKOOL and the Nintendo Wii. Significant differences between boys and girls were found, but were partially due to the difference in weight, VO2max, and fat-free mass. (4) Conclusions: The energy expenditure with AVG combined with multi-component exercise was 5.68 kcal/min in boys and 4.66 kcal/min in girls with overweight and obesity. AVG could be an effective strategy to increase energy expenditure in children and adolescents with overweight and obesity.