Exercise is an effective strategy for preventing and treating obesity and its related cardiometabolic disorders, resulting in significant loss of body fat mass, white adipose tissue browning, redistribution of energy substrates, optimization of global energy expenditure, enhancement of hypothalamic circuits that control appetite-satiety and energy expenditure, and decreased systemic inflammation and insulin resistance. Novel exercise-inducible soluble factors, including myokines, hepatokines, and osteokines, and immune cytokines and adipokines are hypothesized to play an important role in the body’s response to exercise. To our knowledge, no review has provided a comprehensive integrative overview of these novel molecular players and the mechanisms involved in the redistribution of metabolic fuel during and after exercise, the loss of weight and fat mass, and reduced inflammation. In this review, we explain the potential role of these exercise-inducible factors, namely myokines, such as irisin, IL-6, IL-15, METRNL, BAIBA, and myostatin, and hepatokines, in particular selenoprotein P, fetuin A, FGF21, ANGPTL4, and follistatin. We also describe the function of osteokines, specifically osteocalcin, and of adipokines such as leptin, adiponectin, and resistin. We also emphasize an integrative overview of the pleiotropic mechanisms, the metabolic pathways, and the inter-organ crosstalk involved in energy expenditure, fat mass loss, reduced inflammation, and healthy weight induced by exercise.