Obesity-linked insulin resistance is mainly due to fatty acid overload in non-adipose tissues, particularly skeletal muscle and liver, where it results in high production of reactive oxygen species and mitochondrial dysfunction. Accumulating evidence indicates that resistance and endurance training alone and in combination can counteract the harmful effects of obesity increasing insulin sensitivity, thus preventing diabetes. This review focuses the mechanisms underlying the exercise role in opposing skeletal muscle insulin resistance-linked metabolic dysfunction. It is apparent that exercise acts through two mechanisms: (1) it stimulates glucose transport by activating an insulin-independent pathway and (2) it protects against mitochondrial dysfunction-induced insulin resistance by increasing muscle antioxidant defenses and mitochondrial biogenesis. However, antioxidant supplementation combined with endurance training increases glucose transport in insulin-resistant skeletal muscle in an additive fashion only when antioxidants that are able to increase the expression of antioxidant enzymes and/or the activity of components of the insulin signaling pathway are used.