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Obesity in youth increases the risk of type 2 diabetes (T2D), and both are risk factors for neurocognitive deficits. Exercise attenuates the risk of obesity and T2D while improving cognitive function. In adults, these benefits are associated with the actions of the brain-derived neurotrophic factor (BDNF), a protein critical in modulating neuroplasticity, glucose regulation, fat oxidation, and appetite regulation in adults. However, little research exists in youth. This study examined the associations between changes in diabetes risk factors and changes in BDNF levels after 6 months of exercise training in adolescents with obesity. The sample consisted of 202 postpubertal adolescents with obesity (70% females) aged 14–18 years who were randomized to 6 months of aerobic and/or resistance training or nonexercise control. All participants received a healthy eating plan designed to induce a 250/kcal deficit per day. Resting serum BDNF levels and diabetes risk factors, such as fasting glucose, insulin, homeostasis model assessment (HOMA-B—beta cell insulin secretory capacity) and (HOMA-IS—insulin sensitivity), and hemoglobin A1c (HbA1c), were measured after an overnight fast at baseline and 6 months. There were no significant intergroup differences on changes in BDNF or diabetes risk factors. In the exercise group, increases in BDNF were associated with reductions in fasting glucose (β = −6.57, SE = 3.37, p=0.05) and increases in HOMA-B (β = 0.093, SE = 0.03, p=0.004) after controlling for confounders. No associations were found between changes in diabetes risk factors and BDNF in controls. In conclusion, exercise-induced reductions in some diabetes risk factors were associated with increases in BDNF in adolescents with obesity, suggesting that exercise training may be an effective strategy to promote metabolic health and increases in BDNF, a protein favoring neuroplasticity. This trial is registered with ClinicalTrials.gov NCT00195858, September 12, 2005 (funded by the Canadian Institutes of Health Research).