The prevalence of overweight and obesity is increasing, creating a public health problem. The loss of approximately 10% of body weight is recommended to reduce the risk of mortality associated with metabolic diseases and to increase the quality of life in adults with overweight or obesity. Non-pharmacological strategies used for weight management are caloric restriction and physical exercise. Nevertheless, the independent effect of physical exercise to decrease body weight is unclear, and could be responsible for only 20% of the weight loss when healthy lifestyles are prescribed. However, exercise has other benefits for health, independent of its weight reducing effect. In fact, physical inactivity is responsible for twice the deaths caused by obesity. The aim of this review is to discuss the importance of physical exercise in the reduction of body weight in subjects with overweight or obesity.