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Simple Summary: Patients with obesity have a higher energy cost of walking than normal-weight subjects. Can bariatric surgery help these patients to improve their walking economy? In this study, a group of patients underwent cardiopulmonary exercise testing one month before and six months after laparoscopic sleeve gastrectomy and their parameters were registered at three different submaximal protocol stages. As well as significant weight loss, improvements in walking economy were evident as early as six months after bariatric surgery even when patients were grouped by gender and obesity class. These changes result in less impairment when performing daily physical activities. Background: Obesity is associated with a higher energy cost of walking which affects activities of daily living. Bariatric surgery with sleeve gastrectomy (SG) has beneficial effects on weight loss and comorbidities. Purpose: The aim of this study was to analyze the impact of SG on walking economy in subjects with severe obesity. Methods: This observational cohort study included all patients with morbid obesity who were considered suitable candidates for SG between June 2017 and June 2019. Each patient underwent an incremental cardiopulmonary exercise test on a treadmill (modified Bruce protocol) one month before and six months after SG. Data on the energy cost of walking were recorded during three protocol stages (stage 0—slow flat walking: speed 2.7 km/h, slope 0%; stage ½—slow uphill walking: speed 2.7 km/h, slope 5%; stage 1—fast uphill walking: speed 4.0 km/h, slope 8%). Results: 139 patients with morbid obesity (78% women; age 44.1 ± 10.7 years; BMI 42.5 ± 4.7 kg/m2) were included in the study. At six months post-SG, patients presented with a significantly decreased body weight (−30.5 ± 17.2 kg; p < 0.05), leading to an average BMI of 31.6 ± 4.2 kg/m2. The net energy cost of walking (measured in J/m and J/kg/m) of the subjects was lower compared to pre-SG at all three protocol stages. This improvement was also confirmed when the subjects were grouped by gender and obesity classes. Conclusion: After a significant weight loss induced by SG, regardless of the severity of obesity and gender, patients exhibited a lower energy expenditure and an improved walking economy. These changes make it easier to perform daily routines and may facilitate an increase in physical activity. [ABSTRACT FROM AUTHOR]