A sedentary lifestyle is associated with overweight/obesity, which involves excessive fat body accumulation, triggering structural and functional changes in tissues, organs, and body systems. Research shows that this fat accumulation is responsible for several comorbidities, including cardiovascular, gastrointestinal, and metabolic dysfunctions, as well as pathological pain behaviors. These health concerns are related to the crosstalk between adipose tissue and body systems, leading to pathophysiological changes to the latter. To deal with these health issues, it has been suggested that physical exercise may reverse part of these obesity-related pathologies by modulating the cross talk between the adipose tissue and body systems. In this context, this review was carried out to provide knowledge about (i) the structural and functional changes in tissues, organs, and body systems from accumulation of fat in obesity, emphasizing the crosstalk between fat and body tissues; (ii) the crosstalk between fat and body tissues triggering pain; and (iii) the effects of physical exercise on body tissues and organs in obese and non-obese subjects, and their impact on pathological pain. This information may help one to better understand this crosstalk and the factors involved, and it could be useful in designing more specific training interventions (according to the nature of the comorbidity).