Daily energy expenditure is composed of three major components: 1) resting metabolic rate (RMR); 2) the thermic effect of feeding (TEF); and 3) the thermic effect of activity (TEA). RMR constitutes 60 to 75% of daily energy expenditure and is the energy associated with the maintenance of major body functions. TEF is the cumulative increase in energy expenditure after several meals and constitutes approximately 10% of daily energy expenditure. Most investigators, however, have examined the thermic effect of a single meal test (TEM). TEA is the most variable component of daily energy expenditure and can constitute 15 to 30% of 24-h energy expenditure. This component includes energy expenditure due to physical work, muscular activity, including shivering and fidgeting, as well as purposeful physical exercise. Participation in purposeful exercise (both acute and chronic) is a subcomponent of TEA and has been found to influence resting energy expenditure (RMR and TEM). Reports in the literature, however, are discrepant regarding the direction and magnitude of the effects of exercise and exercise training on RMR and TEM. Cross-sectional and longitudinal studies that have examined the effects of exercise on RMR and TEM are reviewed. Possible explanations for divergent results in the literature are discussed. The major focus of this review is directed to human studies, although pertinent animal work is included. The role of genetic variation, gender specific responses, and methodological considerations for future studies examining the relation among RMR, TEA, and TEM are considered. Although still controversial, purposeful physical exercise appears to influence resting energy expenditure in man.