The researchers concluded that this was probably due to the stimulating effect exercise has on appetite, i.e., the more calories you burn, the more you want to eat. Diet will always be your first line of defense when shedding pounds. But if you carefully monitor your food intake, exercise can help your weight-loss efforts. It burns calories, it naturally tones your body, and it can often put you in a positive dieting mind-set that reinforces smart food choices throughout the day.