Exercise and diet combined is more effective than either alone. You get the health benefits from exercise, not from calorie reduction.
http://onlinelibrary.wiley.com/doi/10.1002/14651858.CD003817...
> The 43 studies included 3476 participants. Although significant heterogeneity in some of the main effects' analyses limited ability to pool effect sizes across some studies, a number of pooled effect sizes were calculated. When compared with no treatment, exercise resulted in small weight losses across studies. Exercise combined with diet resulted in a greater weight reduction than diet alone (WMD - 1.0 kg; 95% confidence interval (CI) -1.3 to -0.7). Increasing exercise intensity increased the magnitude of weight loss (WMD - 1.5 kg; 95% CI -2.3 to -0.7). There were significant differences in other outcome measures such as serum lipids, blood pressure and fasting plasma glucose. Exercise as a sole weight loss intervention resulted in significant reductions in diastolic blood pressure (WMD - 2 mmHg; 95% CI -4 to -1), triglycerides (WMD - 0.2 mmol/L; 95% CI -0.3 to -0.1) and fasting glucose (WMD - 0.2 mmol/L; 95% CI -0.3 to -0.1). Higher intensity exercise resulted in greater reduction in fasting serum glucose than lower intensity exercise (WMD - 0.3 mmol/L; 95% CI -0.5 to -0.2). No data were identified on adverse events, quality of life, morbidity, costs or on mortality.
> The results of this review support the use of exercise as a weight loss intervention, particularly when combined with dietary change. Exercise is associated with improved cardiovascular disease risk factors even if no weight is lost.