Obesity and overweight, frequently caused by a lack of exercise, are associated with many metabolic diseases, such as hypertension, diabetes, and dyslipidemia. Aerobic exercise effectively increases the high-density lipoproteins-cholesterol (HDL-C) levels and alleviates the triglyceride (TG) levels. The consumption of Cuban policosanol (Raydel®) is also effective in enhancing the HDL-C quantity and HDL functionality to treat dyslipidemia and hypertension. On the other hand, no study has examined the effects of a combination of high-intensity exercise and policosanol consumption in obese subjects to improve metabolic disorders. In the current study, 17 obese subjects (average BMI 30.1 ± 1.1 kg/m2, eight male and nine female) were recruited to participate in a program combining exercise and policosanol (20 mg) consumption for 12 weeks. After completion, their BMI, waist circumference, total fat mass, systolic blood pressure (SBP), and diastolic blood pressure (DBP) reduced significantly up to around −15%, −13%, −33%, −11%, and −13%, respectively. In the serum lipid profile, at Week 12, a significant reduction was observed in the total cholesterol (TC) and triglyceride (TG) levels, up to −17% and −54% from the baseline, respectively. The serum HDL-C was elevated by approximately +12% from the baseline, as well as the percentage of HDL-C in TC, and HDL-C/TC (%), was enhanced by up to +32% at Week 12. The serum coenzyme Q10 (CoQ10) level was increased 1.2-fold from the baseline in all participants at Week 12. In particular, the male participants exhibited a 1.4-fold increase from the baseline. The larger rise in serum CoQ10 was correlated with the larger increase in the serum HDL-C (r = 0.621, p = 0.018). The hepatic function parameters were improved; the serum γ-glutamyl transferase decreased at Week 12 by up to −55% (p < 0.007), while the aspartate aminotransferase and alanine transaminase levels diminished within the normal range. In the lipoprotein level, the extent of oxidation and glycation were reduced significantly with the reduction in TG content. The antioxidant abilities of HDL, such as paraoxonase (PON) and ferric ion reduction ability (FRA), were enhanced significantly by up to 1.8-fold and 1.6-fold at Week 12. The particle size and number of HDL were elevated up to +10% during the 12 weeks, with a remarkable decline in the TG content, glycation extent, and oxidation. The improvements in HDL quality and functionality were linked to the higher survivability of adult zebrafish and their embryos, under the co-presence of carboxymethyllysine (CML), a pro-inflammatory molecule known to cause acute death. In conclusion, 12 weeks of Cuban policosanol (Raydel®, 20 mg) consumption with high-intensity exercise displayed a significant improvement in blood pressure, body fat mass, blood lipid profile without liver damage, CoQ10 metabolism, and renal impairment.