The connection between exercise and weight loss has to do with the number of calories that one consumes versus the number of calories that one burns. Many people have a general sense that there is a connection between exercise and weight loss and that the more one exercises the more weight one stands to lose. But not everyone fully understands how this process works. A good way to begin an understanding of the process is to think of the connection between exercise and weight loss as the connection between one's spending and saving as it relates to one's bank account balance.
Think of exercise as a way to spend. In this case, calories are being spent instead of money. Eating, on the other hand, is a way to save. Again, in this case we are talking about saving calories instead of money. If too many calories are "saved" in the form of eating they are stored as fat within the body. The more calories are "spent" in the form of exercise, the less fat is collected.
If there is a zero balance in the calorie bank account, meaning that the amount of calories expended is exactly the same as the amount of calories consumed, then it is likely that ones weight will remain the same. If there is a positive balance, then one stands to gain weight. If there is a negative balance, however, one will lose weight. This is because when all of the calories that one has consumed have been depleted through exercise, the body begins to use the "stored" calories, which come in the form of fat.
These are the basics of the connection between exercise and weight loss. Instead of trying to save money, as most people do, the goal to lose weight includes running a negative balance in one's caloric bank account. Although this is not a good thing in financial terms, it is a great thing for people who are trying to lose weight.
The science behind exercise and weight loss is a bit more complicated than what has been discussed here. For example, some people actually exercise to gain weight in the form of muscle. This process involves consuming specific types of food to build muscle in addition to exercising. There are also some diet programs that mix diet, exercise and weight loss in a manner that is more complex than the simple "calories in, calories out" program as described above.