The doubly labeled water method for measuring average daily metabolic rate (ADMR) in combination with resting metabolic rate (RMR) allows one to assess the relation between exercise and energy balance. Three topics were included in an analysis of available data: 1) the limits of energy turnover in relation to physical performance for the achievement of energy balance, 2) the effect of an exercise intervention on daily energy turnover and its components, and 3) the effect of exercise on body composition. In the general population, physical activity level (PAL: ADMR/RMR) ranges between 1.2 and 2.2-2.5. There is no sex difference in the level of physical activity. Higher PAL values can be maintained by training and supplementation of the diet with energy-dense, carbohydrate-rich formulas. Exercise training does not influence spontaneous activity except in the elderly. In sedentary subjects, exercise training does not influence RMR when body weight is maintained. An exercise-induced increase in ADMR is about twice the training load. Exercise induces an increase in fat-free mass, especially in women, and a decrease in fat mass. Women tend to preserve energy balance and consequently loss of fat mass is significantly less.