This study examined the effect of exercise training on sleep duration and quality and bidirectional day-to-day relationships between physical activity (PA) and sleep. Fourteen inactive men with obesity (age: 49.2 ± 7.9 years, body mass index: 34.9 ± 2.8 kg/m²) completed a baseline visit, 8-week aerobic exercise intervention, and 1-month post-intervention follow-up. PA and sleep were assessed continuously throughout the study duration using wrist-worn accelerometry. Generalised estimating equations were used to examine associations between PA and sleep. Sleep duration increased from 5.2 h at baseline to 6.6 h during the intervention period and 6.5 h at 1-month post-intervention follow-up (p < 0.001). Bi-directional associations showed that higher overall activity volume and moderate-to-vigorous physical activity (MVPA) were associated with earlier sleep onset time (p < 0.05). Later timing of sleep onset was associated with lower overall volume of activity, most active continuous 30 min (M30_CONT), and MVPA (p < 0.05). Higher overall activity volume, M30_CONT, and MVPA predicted more wake after sleep onset (WASO) (p < 0.001), whereas greater WASO was associated with higher overall volume of activity, M30_CONT, and MVPA (p < 0.001). An aerobic exercise intervention increased usual sleep duration. Day-to-day, more PA predicted earlier sleep onset, but worse sleep quality and vice versa. Novelty: Greater levels of physical activity in the day were associated with an earlier sleep onset time that night, whereas a later timing of sleep onset was associated with lower physical activity the next day in men with obesity. Higher physical activity levels were associated with worse sleep quality, and vice versa.