Weight loss plans in horses typically use dietary restriction, but exercise may have additional benefits. This study aimed to compare the effects of a diet or exercise protocol resulting in comparable caloric restriction in obese horses. Ten obese horses were paired according to sex, age, and breed or breed type. One horse from each pair was randomly assigned to either diet (DIET)—intake restricted to approximately 85% of digestible energy requirements or exercise (EX)—exercised to expend approximately 15% of digestible energy requirements, resulting in 85% of requirements available, for 4 weeks. Body weight (BW), heart girth (HG), girth-to-height ratio (G:H), neck circumference (NC), neck circumference-to-height ratio (NC:H), belly girth (BG), body condition score (BCS), cresty neck score (CNS), serum insulin, plasma leptin, and plasma ghrelin concentrations were measured weekly. An oral sugar test was conducted on days 0 and 28 to measure insulin to glucose ratio (Ins:glc) and 60-minute insulin sensitivity index (ISI60). Results were analyzed using repeated measures. A P ≤ .05 was considered significant, and .05 < P ≤ .10 was considered a tendency. Both groups showed similar decreases over time in BW, HG, G:H, BG, BCS, and CNS, but the EX group showed significantly greater losses in NC (and NC:H). The EX group showed significant improvements in (log) Ins:glc, as well as a tendency for improvements in (log) ISI60 and plasma leptin concentrations, while the DIET group showed no change. Horses showed no changes in (log) plasma ghrelin with weight loss.