Introduction: To determine whether combined exercise training with an energy-restricted diet leads to improved physical fitness and body composition when compared to energy restriction alone in free-living premenopausal women with clinically severe obesity. Methods: Sixty premenopausal women (BMI of 40.4 ± 6.7) were randomised to energy restriction only (ER) or to exercise plus energy restriction (EXER) for 12 months. Body composition and fitness were measured at baseline, 3, 6 and 12 months. VO2 peak improved more for EXER compared to ER at 3 (mean difference ± SEM 2.5 ± 0.9 mL ∙ kg–1 ∙ min–1, p = 0.006) and 6 (3.1 ± 1.2 mL ∙ kg–1 ∙ min–1, p = 0.007) but not 12 months (2.3 ± 1.6 mL ∙ kg–1 ∙ min–1, p = 0.15). Muscle strength improved more for EXER compared to ER at all time points. No differences between groups for lean mass were observed at 12 months. Conclusion: Combining exercise training with an energy-restricted diet did not lead to greater aerobic power, total body mass, fat mass or limit lean body mass loss at 12 months when compared to energy restriction alone for premenopausal women with clinically severe obesity in free-living situations. Future research should aim to determine an effective lifestyle approach which can be applied in the community setting for this high-risk group.