The mechanisms that underlie exercise-induced adaptations in adipose tissue have not been elucidated, yet, accumulating studies suggest an important role for microRNAs (miRNAs). This study aimed to investigate miRNA expression in gluteal subcutaneous adipose tissue (GSAT) in response to a 12-week exercise intervention in South African women with obesity, and to assess depot-specific differences in miRNA expression in GSAT and abdominal subcutaneous adipose tissue (ASAT). In addition, the association between exercise-induced changes in miRNA expression and metabolic risk was evaluated. Women underwent 12-weeks of supervised aerobic and resistance training (n = 19) or maintained their regular physical activity during this period (n = 12). Exercise-induced miRNAs were identified in GSAT using Illumina sequencing, followed by analysis of differentially expressed miRNAs in GSAT and ASAT using quantitative real-time PCR. Associations between the changes (pre- and post-exercise training) in miRNA expression and metabolic parameters were evaluated using Spearman’s correlation tests. Exercise training significantly increased the expression of miR-155-5p (1.5-fold, p = 0.045), miR-329-3p (2.1-fold, p < 0.001) and miR-377-3p (1.7-fold, p = 0.013) in GSAT, but not in ASAT. In addition, a novel miRNA, MYN0617, was identified in GSAT, with low expression in ASAT. The exercise-induced differences in miRNA expression were correlated with each other and associated with changes in high-density lipoprotein concentrations. Exercise training induced adipose-depot specific miRNA expression within subcutaneous adipose tissue depots from South African women with obesity. The significance of the association between exercise-induced miRNAs and metabolic risk warrants further investigation.