Introduction: Several studies have extensively documented the benefits of moderate intensity physical training for reducing the risk of cardiovascular death in the management of overweight and obesity. However, the benefits of vigorous intensity training are small. Objective: To examine sex differences in the relationship between vigorous vs. moderate intensity exercise and risk markers for overweight and obesity in healthy adults. Methods: A cross-sectional, descriptive study in 304 healthy subjects (n = 218 men, n = 86 women). The short version of the International Physical Activity Questionnaire (IPAQ) was used to stratify exercise intensity into two categories, moderate and vigorous. Body mass index (BMI) and percent body fat (%BF) were calculated, and waist circumference (WC) was measured as risk markers of overweight and obesity. Results: No significant differences were found in risk markers of overweight and obesity in the male group depending on exercise intensityh. As compared to women training at moderate intensity, those making vigorous exercise had lower BMI (25.7 ± 3.0 kg/m2 vs.22.5 ± 1.7 kg/m2), WC (79.2 ± 6.8 cm vs. 76.0 ± 3.1 cm), and BF (33.5 ± 2.6% vs. 28.1 ± 5.3%) levels (P < 0.05 for all). Conclusions: Vigorous intensity training is associated with lower values of markers of overweight and obesity in women, but not in men.