Strategies aiming to promote weight loss usually include anything that results in an increase in energy expenditure (exercise) or a decrease in energy intake (diet). However, the probability of losing weight is low and the probability of sustained weight loss is even lower. Herein, we bring some questions and suggestions about the topic, with a focus on exercise interventions. Based on the current evidence, we should look at how metabolism changes in response to interventions instead of counting calories, so we can choose more efficient models that can account for the complexity of human organisms. In this regard, high-intensity training might be particularly interesting as a strategy to promote fat loss since it seems to promote many physiological changes that might favor long-term weight loss. However, it is important to recognize the controversy of the results regarding interval training (IT), which might be explained by the large variations in its application. For this reason, we have to be more judicious about how exercise is planned and performed and some factors, like supervision, might be important for the results. The intensity of exercise seems to modulate not only how many calories are expended after exercise, but also where they came from. Instead of only estimating the number of calories ingested and expended, it seems that we have to act positively in order to create an adequate environment for promoting healthy and sustainable weight loss.