This review explores the role of physical activity (PA) and exercise training (ET) in the prevention of weight gain, initial weight loss, weight maintenance, and the obesity paradox. In particular, we will focus the discussion on the expected initial weight loss from different ET programs, and explore intensity/volume relationships. Based on the present literature, unless the overall volume of aerobic ET is very high, clinically significant weight loss is unlikely to occur. Also, ET also has an important role in weight regain after initial weight loss. Overall, aerobic ET programs consistent with public health recommendations may promote up to modest weight loss (~ 2 kg), however the weight loss on an individual level is highly heterogeneous. Clinicians should educate their patients on reasonable expectations of weight loss based on their physical activity program and emphasize that numerous health benefits occur from PA programs in the absence of weight loss.