So you don't lose the weight when you exercise. Don't get disappointed. Exercise in and of itself (i.e., calories out) does not stand up to overeating and eating fattening foods (calories in).
But you do derive benefits from exercising that can affect your outlook on taking too many calories in.
Exercise does make you healthier. Among other health changes, exercise can lower systolic and diastolic blood pressure and lower resting heart rate. Exercise can affect your psychological state, as well, making you have more positive moods and feel more positively about yourself.
These non-weight-losing benefits of exercise get you moving in a direction that can lead to weight-loss. For example, as a result of exercising, you are more focused on your body and doing things that make you (and your body) feel better and look better. The motivation is there. The positive feedback is there. You've established a regimen. All of these steps bring you closer to doing something about the calories-in side of the equation.
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