Regular physical activity, in the form of structured daily exercise, plays a large role in obesity management. Previous studies suggest that when sedentary men and women start an exercise training program, men lose more body weight than women. This has led researchers to reason that women are better at defending weight than men in response to exercise. In this article, we review exercise studies examining weight loss in men and women, and highlight hormonal, neuronal, and ad libitum energy intake responses to physical activity that is consistent with or in disagreement with sex differences in weight loss. The developing story may impact our view on the use of physical activity to influence body weight and whether a true sex difference is evident.