Exercise training is critical for the prevention and treatment of obesity, but its underlying mechanisms remain incompletely understood given the challenge of profiling heterogeneous effects across multiple tissues and cell types. Here, we address this challenge and opposing effects of exercise and high-fat diet (HFD)-induced obesity at single-cell resolution in subcutaneous and visceral white adipose tissue and skeletal muscle in mice with diet and exercise training interventions. We identify a prominent role of mesenchymal stem cells (MSCs) in obesity and exercise-induced tissue adaptation. Among the pathways regulated by exercise and HFD in MSCs across the three tissues, extracellular matrix remodeling and circadian rhythm are the most prominent. Inferred cell-cell interactions implicate within- and multi-tissue crosstalk centered around MSCs. Overall, our work reveals the intricacies and diversity of multi-tissue molecular responses to exercise and obesity and uncovers a previously underappreciated role of MSCs in tissue-specific and multi-tissue beneficial effects of exercise.