This 36-month study aimed to determine whether exercise intervention added to weight loss treatment in the beginning or at 6 months is effective for weight loss and long-term weight maintenance. A total of 120 obese adults (body mass index >30) were randomly assigned to intensified behavioral modification (iBM), iBM+ additional exercise from 0 to 3 months (CWT1), iBM+ additional exercise from 6 to 9 months (CWT2), and a control group (CON). Questionnaires and measurements were collected at baseline, 3, 9, 24, and 36 months. The intervention consisted of an 12 months intensified weight-loss period followed by a 24 months weight-maintenance period. Eighty (67%) subjects (mean age 46.0 years, BMI 36.2) completed the trial. Compared with the control group, all three intervention groups had significant weight loss during the 36-month intervention period (p < 0.001). The achieved weight loss remained significant at 36 months in the iBM (−6.8%, p < 0.001), the CWT1 (−5.8%, p < 0.001), and the CWT2 group (−3.9%, p < 0.001). The CWT1 group showed significant reduction in waist circumference at 9 months (−11.3 cm, p < 0.001), at 24 months (−8.8 cm, p < 0.001), and at 36 months (−8.7 cm, p < 0.001). Intensified behavioral modification alone and with exercise resulted in clinically significant weight loss and long-term weight maintenance. The addition of exercise at the onset promoted greater reductions in waist circumference. In the treatment of obesity, including severe obesity, more intensive lifestyle interventions with exercise should be incorporated.