Aerobic exercise training in women typically results in minimal fat loss, with considerable individual variability. We hypothesized that women with higher baseline body fat would lose more body fat in response to exercise training and that early fat loss would predict final fat loss. Eighty-one sedentary premenopausal women (age: 30.7 ± 7.8 years; height: 164.5 ± 7.4 cm; weight: 68.2 ± 16.4 kg; fat percent: 38.1 ± 8.8) underwent dual-energy x-ray absorptiometry before and after 12 weeks of supervised treadmill walking 3 days per week for 30 minutes at 70% of (Equation is included in full-text article.). Overall, women did not lose body weight or fat mass. However, considerable individual variability was observed for changes in body weight (-11.7 to +4.8 kg) and fat mass (-11.8 to +3.7 kg). Fifty-five women were classified as compensators and, as a group, gained fat mass (25.6 ± 11.1 kg to 26.1 ± 11.3 kg; p < 0.001). The strongest correlates of change in body fat at 12 weeks were change in body weight (r = 0.52) and fat mass (r = 0.48) at 4 weeks. Stepwise regression analysis that included change in body weight and body fat at 4 weeks and submaximal exercise energy expenditure yielded a prediction model that explained 37% of the variance in fat mass change (R = 0.37, p < 0.001). Change in body weight and fat mass at 4 weeks were moderate predictors of fat loss and may potentially be useful for identification of individuals who achieve less than expected weight loss or experience unintended fat gain in response to exercise training.