Exercise is the single best thing anyone can do for their health. It alone does not always result in weight loss however, and primarily plays a bigger role in weight maintenance (https://www.ncbi.nlm.nih.gov/m/pubmed/19689837/). Like @hansdewet said, calories in / calories out also isn't the whole story. But it is easier to reduce the amount of calories you take in than to burn more calories on a consistent basis. Of course health benefits, and probably weight loss, will be compromised if the calories taken in are from sugars, white flour, white rice, potatoes, cheese, and battered and fried meats.