Obesity has become a worldwide problem of pandemic proportions. By definition, obesity is the accumulation of excess body fat and it represents the long-term results of positive energy and fat balance. The failures in the regulatory mechanisms leading to the development of obesity are still not well understood, but there is growing evidence that exercise is an important element in obesity prevention. Exercise promotes energy/fat balance while providing beneficial alterations to obesity/overweight-related comorbidities and mortality. Also, exercise, in large part, influences whether the fate of dietary fat is storage or oxidation. Many factors including intensity, duration and type (aerobic vs anaerobic) of exercise, energy expended during exercise and individual fitness level impact the amounts of fat oxidised at any given time. Evidence suggests that moderate-intensity exercise yields the most cumulative (during and post-exercise) fat grams used for substrate in the average individual. All intensities of exercise, however, promote fat oxidation during the post-exercise period. We suggest that it is the effects of exercise on 24-hour fat balance that are most important in understanding the role of exercise in the prevention of fat accumulation and obesity.