Exercise is widely regarded as one of the most valuable components of behaviour that can influence body weight and therefore help in the prevention and management of obesity. Indeed, long-term controlled trials show a clear dose-related effect of exercise on body weight. However, there is a suspicion, particularly fuelled by media reports, that exercise serves to increase hunger and drive up food intake thereby nullifying the energy expended through activity. Not everyone performing regular exercise will lose weight and several investigations have demonstrated a huge individual variability in the response to exercise regimes. What accounts for this heterogeneous response? First, exercise (or physical activity) through the expenditure of energy will influence the energy balance equation with the potential to generate an energy deficit. However, energy expenditure also influences the control of appetite (i.e. the physiological and psychological regulatory processes underpinning feeding) and energy intake. This dynamic interaction means that the prediction of a resultant shift in energy balance, and therefore weight change, will be complicated. In changing energy intake, exercise will impact on the biological mechanisms controlling appetite. It is becoming recognized that the major influences on the expression of appetite arise from fat-free mass and fat mass, resting metabolic rate, gastric adjustment to ingested food, changes in episodic peptides including insulin, ghrelin, cholecystokinin, glucagon-like peptide-1 and tyrosine-tyrosine, as well as tonic peptides such as leptin. Moreover, there is evidence that exercise will influence all of these components that, in turn, will influence the drive to eat through the modulation of hunger (a conscious sensation reflecting a mental urge to eat) and adjustments in postprandial satiety via an interaction with food composition. The specific actions of exercise on each physiological component will vary in strength from person to person (according to individual physiological characteristics) and with the intensity and duration of exercise. Therefore, individual responses to exercise will be highly variable and difficult to predict.