We studied the independent and combined effects of exercise training and weight loss on blood lipids under fixed diet and exercise conditions. Twenty-one obese sedentary men were randomly allocated to one of four treatment groups: (1) inactive and constant weight (control), (2) exercise training and constant weight, (3) inactive and weight loss, and (4) exercise training and weight loss. There were three study periods: a 3 week baseline period inactive and on an isocaloric diet, a 12 week treatment period, and a 3 week weight stabilization period. Exercise consisted of treadmill walking at an energy cost of 3500 kcal/wk for groups 2 and 4 with replacement caloric intake only in group 2. Group 3 reduced caloric intake by 3500 kcal/wk during the treatment period. Weight loss for groups 3 and 4 were 13.4 pounds and 13.7 pounds, respectively. Maximal oxygen uptake (mL/min) increased 6% in both exercise groups (2 and 4), and percent body fat decreased only in these groups. Regression analysis by group assignment on HDL cholesterol (HDL-C) showed that the inactivity-weight loss modality (group 3) and the exercise-constant weight modality (group 2) each significantly increased HDL-C, with an additive effect of exercise and weight loss (group 4). The rate of HDL-C change differed significantly between groups (P = 0.01). HDL-C increased 0.63, 0.61, and 1.89 mg/dL per 3 weeks or 2%, 2.4%, and 5.5% above baseline levels in groups 2, 3, and 4, respectively, while the control group decreased 0.11 mg/dL. Plasma triglycerides and very low-density lipoprotein (VLDL) cholesterol increased with exercise at constant weight (group 2) and decreased with exercise associated with weight loss (group 4). In conclusion, exercise and weight loss separately and independently increase HDL-C, and their effects are additive.