Weight loss in older adults has been a controversial topic for more than a decade. An obesity paradox has been previously described and the issue of weight status on health outcomes remains a highly debated topic. However, there is little doubt that physical activity (PA) has a myriad of benefits in older adults, especially in obese individuals who are inactive and have a poor cardiometabolic profile. In this review, we offer a critical view to clarify misunderstandings regarding the obesity paradox, particularly as it relates to obese older adults. We also review the evidence on PA and lifestyle interventions for the improvement of cardiorespiratory fitness, which can prevent disease and provide benefits to obese older adults, independent of weight changes.