Background: Microalgae like Phaeodactylum tricornutum (PT) contain the carotenoid, fucoxanthin, which has been purported to promote fat loss, lower blood lipids, and improve glucose management. This study examined whether dietary supplementation with microalgae extracts from PT containing 4.4 mg/d of fucoxanthin affects changes in body composition or health markers in overweight women during an exercise and diet intervention. Materials and Methods: A total of 37 females (28.6 ± 7.9 years, 80.2 ± 14.9 kg, 29.6 ± 3.8 kg/m², 41.4 ± 4.2% fat) fasted for 12 h, donated a fasting blood sample, completed health and mood state inventories, and undertook body composition, health, and exercise assessments. In a counterbalanced, randomized, and double-blind manner, participants ingested a placebo (PL), or microalgae extract of Phaeodactylum tricornutum standardized to 4.4 mg of fucoxanthin (FX) for 12 weeks while participating in a supervised exercise program that included resistance-training and walking (3 days/week) with encouragement to accumulate 10,000 steps/day on remaining days of the week. The diet intervention involved reducing energy intake by about -300 kcal/d (i.e., ≈1400–1600 kcals/d, 55% carbohydrate, 30% fat, 15% protein) to promote a −500 kcal/d energy deficit with exercise. Follow-up testing was performed at 6 and 12 weeks. A general linear model (GLM) with repeated measures statistical analysis was used to analyze group responses and changes from baseline with 95% confidence intervals. Results: Dietary supplementation with microalgae extract from PT containing fucoxanthin for 12 weeks did not promote additional weight loss or fat loss in overweight but otherwise healthy females initiating an exercise and diet intervention designed to promote modest weight loss. However, fucoxanthin supplementation preserved bone mass, increased bone density, and saw greater improvements in walking steps/day, resting heart rate, aerobic capacity, blood lipid profiles, adherence to diet goals, functional activity tolerance, and measures of quality of life. Consequently, there appears to be some benefit to supplementing microalgae extract from PT containing fucoxanthin during a diet and exercise program. Registered clinical trial #NCT04761406.