The imbalance between energy expenditure and energy intake is the main factor accounting for the progression of obesity. For many years, physical activity has been part of weight-loss programmes to increase energy expenditure. It is now recognized that exercise can also affect appetite and energy consumption. In the context of seeking new obesity treatments, it is of major interest to clarify the impact of physical exercise on energy intake. Many reviews on this topic have been published regarding both lean and overweight adults, and this review focuses on the relationships between acute exercise and the short-term regulation of energy intake in lean and overweight or obese youths. The current literature provides very few data regarding the impact of exercise on subsequent energy intake and perceived and measured appetite in children and adolescents, mainly because of methodological difficulties in the assessment of both energy intake and expenditure. It has been long suggested that energy intake was regulated after exercise in order to compensate for the exercise-induced energy expenditure and then preserve energy balance. This overview underlines that the energy expended during exercise is not the main parameter that influences subsequent energy intake in both lean and overweight/obese children and adolescents, and that factors such as the duration or intensity of exercise may have larger impact. The effects of acute exercise on the following nutritional adaptations (energy intake and appetite feelings) remain inconclusive in lean youths, mainly due to the lack of data and the disparity of the methodologies used. Studies in overweight or obese children and adolescents are confronted with the same difficulties, and the few available data suggest that intensive exercise (>70% maximal oxygen consumption) can induce a reduction in daily energy balance, as a result of its anorexigenic effect in obese adolescents. However, further studies are needed to clarify the impact of acute exercise on subsequent nutritional adaptations and appetite-related hormones in children and adolescents, and to investigate the effect of chronic exercise programmes.