Weight loss from an exercise program is often less than expected. Many individuals exercise for several hours a week to only lose a few pounds or none at all. This is due to a coordinated set of compensatory mechanisms that actually resist the negative energy balance required for weight loss and created by exercise. These mechanisms can be centered on changes in behavioral and metabolic physiology that function to increase energy intake and decrease metabolic energy expenditure. These mechanisms are evolutionarily conserved traits that once protected us from food shortages and famine but currently impede our weight-loss efforts. Recent clinical trials from my lab have uncovered details behind these mechanisms, why many people fail to lose weight when exercising and how exercise can still be a useful weight-loss strategy.