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Our study aimed to investigate the effects of exercise on HDL composition and functional properties in overweight/obese subjects. Eighteen overweight/obese subjects (nine F and nine M, BMI = 30.3 ± 3 kg/m2) attended supervised training for 7 weeks. The protocol included combined resistance and conditioning training four to five times each week. The activity of the antioxidant enzyme paraoxonase-1 (PON1) associated with HDL was evaluated in all subjects before and after the training intervention. Moreover, myeloperoxidase (MPO) levels and oxidative stress markers (ox-LDLs and total antioxidant capacity) were studied in the serums of the subjects. At the end of the intervention, the activity of PON1 was increased (p < 0.0001), and MPO levels and the MPO/PON1 ratio were decreased (p < 0.0001). In addition, a significant improvement in muscle strength and maximal oxygen uptake (VO2max) (p < 0.0001) and a significant reduction in total and visceral adipose tissue mass (p < 0.001) and waist circumference (p < 0.008), without any significant decrease in body weight, were observed. A significant correlation was established between serum MPO/PON ratios, HDL redox activity and ox-LDLs. In conclusion, our results demonstrate that exercise training, without modifications of dietary habits, improved HDL functionality in overweight/obese adults, without any significant reduction in BMI or modifications of glucose and lipid biochemical parameters.