Exercise. I hate it! I'm about as active as a Brazilian 2-toed Sloth. The problem that I had with exercise is that it made me hungry and I ended up eating more Calories than I burned by exercising. This was due to me doing it wrong! See Move More: Solutions to problems and Exercise decreases appetite.
The thing about exercise in moderation, is that it's good for health & fitness. The problem is that some people think that doing lots more is better. It ain't necessarily so. The 38 year old lady sitting near me at karaoke last night used to run a lot when she was at school. She now needs a replacement knee joint due to damaged cartilage and she had her knee wired up to a TENS machine. See A little moderate to vigorous physical activity does more than you think.
Too much early morning exercise can also make you ill, by raising serum cortisol level. High cortisol level is immunosuppressive. See Early morning exercise could make you ill. High cortisol level also causes water retention, so people who over-exercise can gain water weight. Chronically-high cortisol levels can also cause muscle loss, thin skin and osteoporosis.
Starving yourself and over-exercising makes things even worse. From WHY is the combination of high intensity and/or long duration activity a mistake when calories are being severely restricted?
"Water retention: cortisol binds to the mineralocorticoid receptor (the receptor involved in water retention, well one of them). And although cortisol has 1/100th of the effect on water balance of the primary hormones (aldosterone and a couple of others), since there is like 8000 times as much of it, it can cause a major effect."
"Excessive cortisol, especially chronic elevations cause other problems not the least of which is leptin resistance. Which only magnifies the drop in leptin from dieting. This could be another mechanism behind the greater drop in metabolic rate for the study I mentioned above."
So, what's the best thing to do for maximum fat loss with minimum muscle loss? A mixture of high-intensity exercise (resistance training with weights, or sprinting) and medium-intensity exercise (jogging) (a.k.a. High-Intensity Interval Training, or HIIT) is better than just medium-intensity exercise. See Resistance Weight Training With Endurance Training Enhances Fat Loss, Impact of Exercise Intensity on Body Fatness and Skeletal Muscle Metabolism and HIIT & Run.
One theory to try and explain the improved fat loss of HIIT is that Calories are burned after the high-intensity exercise is finished. However, the Excess Post-exercise Oxygen Consumption (EPOC) only amounts to ~35kcals, so it isn't significant. It's almost certainly the appetite-suppressive effect of exercise that makes you glow, that results in reduced Calories in.