Purpose: To describe the experience of obese adults following participation in an indoor aerobic interval training (AIT) intervention. Methodology: Qualitative, in-depth semi-structured individual interviews, using phenomenology, with 24 obese adults (body mass index (BMI) ≥30 kg/m2) from the Endocrinology Department, at the Severo Ochoa Hospital in Leganés (Madrid). Questions were related to: (a) The physical activity (PA) programme, (b) their perspectives of the activity and exercise environment and (c) the perceived benefits from participation. Data were analysed with a constant comparison approach. Results: The main patients’ reasons for beginning the programme were motivations to take part including weight loss, health improvement and doctors’ recommendation. Also, patients showed doubts and feelings of apprehension at the beginning of the intervention. Patients highlighted the role of the instructor, feelings of exercising in a safe environment, a good intervention and accessibility of the facility. They reported an improvement in their quality of life and recommended continuing the program. Conclusions: (1) Common themes in the qualitative analysis included enjoyment of the activity and a desire to maintain physical fitness, (2) AIT was perceived as a suitable exercise programme for this population and (3) recommendations for further investigation to understand the role of PA programmes for people with obesity.