Scientists warn that the odds seem to be heavily stacked against women, who have to sweat and slog their way to weight loss, more so than men.
Scientists found that obese men reaped much better results than women on the same fitness program.
While exercise alone might be enough for men to lose weight, women must also add diet to get the same results, they warn.
Jill Kanaley, professor at the University of Missouri and her colleagues looked at the heart rate and blood pressure of nearly 75 obese men and women with Type 2 diabetes, the journal Metabolism reports.
They all followed a programme of aerobic (cardiovascular) exercise for 16 weeks. They all worked at an effort of 65 percent, which was worked out based on each individual's ability.
Despite everyone exercising at relatively the same speed, the researchers found that men got far more benefit from the exercise than women.
Over the 16 weeks, women's recovery time did not improve, whereas men's did, indicating their fitness had improved. They also lost more weight, the Daily Mail reports.
Kanaley said: "This research highlights that the advantages we think exercise is going to give individuals may not be the same across genders, particularly for those who have Type 2 diabetes".
"This is a concern because there are high mortality rates with Type 2 diabetes, especially for women."
"Our research indicates certain exercises may not be enough for women. These findings could help health providers and researchers develop targeted exercise interventions for obese women," added Kanaley.