An activity-induced increase in energy expenditure theoretically disturbs energy balance (EB) by creating an acute energy deficit. Compensatory responses could influence the weight loss associated with the energy deficit. Individual variability in compensation for perturbations in EB could partly explain why some individuals fail to lose weight with exercise. It is accepted that the regulatory system will readily defend impositions that promote a negative EB. Therefore, a criticism of exercise interventions is that they will be ineffective and futile methods of weight control because the acute energy deficit is counteracted. Compensation for exercise-induced energy deficits can be categorized into behavioral or metabolic responses and automatic or volitional. An automatic compensatory response is a biological inevitability and considered to be obligatory. An automatic compensatory response is typically a metabolic consequence (e.g., reduced resting metabolic rate) of a negative EB. In contrast, a volitional compensatory response tends to be deliberate and behavioral, which the individual intentionally performs (e.g., increased snack intake). The purpose of this review is to highlight the various metabolic and behavioral compensatory responses that could reduce the effectiveness of exercise and explain why some individuals experience a lower than expected weight loss. We propose that the extent and degree of compensation will vary between individuals. That is, some individuals will be predisposed to compensatory responses that render them resistant to the weight loss benefits theoretically associated with an exercise-induced increase in energy expenditure. Therefore, given the inter-individual variability in behavioral and metabolic compensatory responses, exercise prescriptions might be more effective if tailored to suit individuals.