We investigated gluteal (GSAT) and abdominal subcutaneous adipose tissue (ASAT) DNA methylation of FKBP5 in response to a 12-week intervention in African women with obesity, as well as the effect of the rs1360780 single nucleotide polymorphism (SNP) on FKBP5 methylation, gene expression and post-exercise training adaptations in obesity and metabolic related parameters. Exercise (n = 19) participants underwent 12-weeks of supervised aerobic and resistance training while controls (n = 12) continued their usual behaviours. FKBP5 methylation was measured in GSAT and ASAT using pyrosequencing. SNP and gene expression analyses were conducted using quantitative real-time PCR. Exercise training induced FKBP5 hypermethylation at two CpG dinucleotides within intron 7. When stratified based on the rs1360780 SNP, participants with the CT genotype displayed FKBP5 hypermethylation in GSAT (p < 0.05), and ASAT displayed in both CC and CT carriers. CC allele carriers displayed improved cardiorespiratory fitness, insulin sensitivity, gynoid fat mass, and waist circumference (p < 0.05) in response to exercise training, and these parameters were attenuated in women with the CT genotype. These findings provide a basis for future studies in larger cohorts, which should assess whether FKBP5 methylation and/or genetic variants such as the rs1360780 SNP could have a significant impact on responsiveness to exercise interventions.