The anti-obesity drug orlistat promotes weight loss and improves obesity-related risk factors, but its effect on oxidative stress is not clear yet. Orlistat reduces dietary fat absorption, which may have effects on fat soluble vitamins especially the antioxidant vitamins A and E. The aim of this study was to determine and compare the effects of weight loss achieved by orlistat therapy and a combination of orlistat with aerobic exercise training on lipid peroxidation and antioxidative defense in obese subjects. Total of 24 obese subjects were randomly assigned to receive 12-week treatment with hypocaloric diet-orlistat (120 mg three times daily) (DO group) or diet-orlistat-exercise (DOE group). Serum levels of malondialdehyde (MDA), a marker for lipid peroxidation, and vitamins A and E were measured by high performance liquid chromatography at baseline and at the end of the treatment. Body weight and fat mass were significantly reduced in the two groups (p < 0.001). In the DO group, the MDA levels remained unchanged (p = 0.59), while vitamins A (p < 0.01) and E (p < 0.001) were significantly decreased. In contrast, the subjects treated with DOE exhibited marked decreases in MDA (p = 0.002) and a small but significant decrease in vitamins A (p = 0.003) and E (p = 0.003). Thus, orlistat therapy alone caused a significant reduction in antioxidative capacity without affecting oxidative stress, whereas orlistat in combination with exercise training provided a significant decrease in MDA levels. The beneficial effect of aerobic exercise as an adjunct to the orlistat therapy is of importance with regard to the obesity-associated risk factors.