We studied the effect of three programs, diet restriction (D), individualized exercise training (E) at the maximal lipid oxidation point (LIPOXmax) and diet combined with exercise (D+E), on body mass, plasma lipoprotein and adiponectin levels in obese girls. Eighteen obese adolescents girls aged 12-14 years were studied. A longitudinal intervention was carried out, consisting of a two-month diet (D; -500 kcal·day-1), of individualized exercise (E; 4 days/week, 90 min·day-1) and of diet combined with exercise (D+E). Body mass, body mass index (BMI), body fat mass, waist circumference, substrate crossover point, LIPOXmax point, homeostasis model assessment (HOMA-IR) index, fasting levels of lipids and circulatory adiponectin, were measured in all subjects before and after the program. In subjects of the D+E group, body mass, BMI, body fat mass, waist circumference, HOMA-IR, low-density lipoprotein cholesterol (LDL-C) and total cholesterol / high-density lipoprotein cholesterol (TC/HDL-C) ratio were significantly lower, and HDL-C and adiponectin were higher after the program than that of subjects in the D or E groups. Diet/exercise improved the ability to oxidize lipids during exercise (crossover point: + 18.5 ± 3.4 of % Wmax; p < 0.01 and fat oxidation rate at LIPOXmax: + 89.7 ± 19.7 mg·min^-1; p < 0.01). In the D+E group, significant correlations were found between changes in body mass and adiponectin and between changes in the TC/HDL-C ratio and LIPOXmax. These findings show that the combined program of diet restriction and individualized exercise training at the LIPOXmax point is necessary to simultaneously improve body mass loss, adiponectin levels, as well as metabolic parameters, in obese girls.