To inform recommendations for the exercise component of a healthy lifestyle intervention for adults with obesity and treated obstructive sleep apnoea (OSA), we investigated the total energy expenditure (EE) and cardiorespiratory response to weight-supported (cycling) and unsupported (walking) exercise. Individuals with treated OSA and a body mass index (BMI) > 30 kg/m2 performed an incremental cardiopulmonary exercise test on a cycle ergometer and a treadmill to determine the peak oxygen uptake [Formula: see text]. Participants subsequently completed two endurance tests on each modality, matched at 80% and 60% of the highest [Formula: see text] determined by the incremental tests, to intolerance. The cardiorespiratory response was measured and total EE was estimated from the [Formula: see text]. Sixteen participants completed all six tests: mean [SD] age 57  years and median [IQ range] BMI 33.3 [30.8–35.3] kg/m2. Total EE during treadmill walking was greater than cycling at both high (158  vs. 29  kcal; p < 0.001) and moderate (178  vs. 85  kcal; p = 0.002) intensities, respectively, with similar cardiorespiratory responses and pattern of EE during rest, exercise and recovery. Contrary to current guidelines, walking might be the preferred training modality to achieve the combination of weight loss and increased cardiorespiratory fitness in adults with obesity and treated OSA.