Background: Obesity impairs lung function and mechanics and leads to low-grade inflammation, but the effects of combined physical exercise (CPE) on that are unknown.Methods: We investigated the effects of 12 weeks of combined physical exercise (aerobic + resistance training), in non-obese (n = 12), overweight (n = 17), and obese grade I (n = 11) women. Lung function and lung mechanics were evaluated. The systemic immune response was evaluated by whole blood analysis and biomarker measurements, while pulmonary fibrotic biomarkers were evaluated in the breath condensate.Result: CPE improved forced vital capacity (FVC) % (p < 0.001) and peak expiratory flow (PEF) % (p < 0.0003) in the obese group; resistance of the respiratory system (R5Hz) in non-obese (p < 0.0099), overweight (p < 0.0005), and obese (p < 0.0001) groups; resistance of proximal airways (R20Hz) in non-obese (p < 0.01), overweight (p < 0.0009), and obese (p < 0.0001) groups; resistance of distal airways (R5Hz–R20Hz) in non-obese (p < 0.01), overweight (p < 0.0012), and obese (p < 0.0001) groups; reactance of the respiratory system (X5Hz) in non-obese (p < 0.01), overweight (p < 0.0006), and obese (p < 0.0005) groups; impedance of the respiratory system (Z5Hz) in non-obese (p < 0.0099), overweight (p < 0.0005), and obese (p < 0.0001) groups; central resistance (RCentral) in non-obese (p < 0.01), overweight (p < 0.001), and obese (p < 0.0003) groups; and the peripheral resistance (RPeripheral) in non-obese (p < 0.03), overweight (p < 0.001), and obese (p < 0.0002) groups. CPE reduced the pro-fibrotic IGF-1 levels in BC in overweight (p < 0.0094) and obese groups (p < 0.0001) and increased anti-fibrotic Klotho levels in BC in obese (p < 0.0001) groups, and reduced levels of exhaled nitric oxide in overweight (p < 0.03) and obese (p < 0.0001) groups.Conclusion: CPE improves lung function, mechanics, and pulmonary immune response in overweight and obese grade I women by increasing anti-fibrotic protein Klotho and reducing pro-fibrotic IGF-1.