Com as devidas ressalvas (ver citação) o exercício parece ser mais benéfico (para perder peso) é o realizado de estômago vazio:
Why exercise might be more beneficial on an empty stomach
Citação:
"The scientists took blood samples after fasting and the high carb breakfast and then after exercise. They also took adipose (fat) tissue samples immediately before and one hour after the walking exercise.
They discovered that the expression of two genes (PDK4 and HSL) significantly increased when the men fasted – but decreased when the men ate a high-calorie breakfast before they exercised. The increase in these genes suggested that fat was used to fuel the exercise, instead of the food consumed at breakfast.
Dylan Thompson, corresponding author of the study explained that this fat tissue often faces competing challenges. After consuming food it is busy responding to the meal and "and a bout of exercise at this time will not stimulate the same [beneficial] changes in adipose tissue. This means that exercise in a fasted state might provoke more favorable changes in adipose tissue, and this could be beneficial for health in the long term."
Although the study supports previous research, it is worthwhile noting the study sample was small and only looked at overweight men."