Physical activity is effective for preventing and treating type 2 diabetes, but some individuals do not achieve metabolic benefits from exercise (“non-responders”). We investigated non-responders in terms of insulin sensitivity changes following a 12-week supervised strength and endurance exercise program. We used a hyperinsulinaemic euglycaemic clamp to measure insulin sensitivity among 26 men aged 40–65, categorizing them into non-responders or responders based on their insulin sensitivity change scores. The exercise regimen included VO2max, muscle strength, whole-body MRI scans, muscle and fat biopsies, and serum samples. mRNA sequencing was performed on biopsies and Olink proteomics on serum samples. Non-responders showed more visceral and intramuscular fat and signs of dyslipidaemia and low-grade inflammation at baseline and did not improve in insulin sensitivity following exercise, although they showed gains in VO2max and muscle strength. Impaired IL6-JAK-STAT3 signalling in non-responders was suggested by serum proteomics analysis, and a baseline serum proteomic machine learning (ML) algorithm predicted insulin sensitivity responses with high accuracy, validated across two independent exercise cohorts. The ML model identified 30 serum proteins that could forecast exercise-induced insulin sensitivity changes.