Ectopic fat leads to metabolic health problems. This research aimed to assess the effectiveness of a hypocaloric diet intervention together with an unsupervised exercise training program in comparison with a hypocaloric diet alone to reduce ectopic fat deposition. Sixty-one premenopausal women with overweight or obesity participated in this controlled trial and were each randomised into either a usual care group (hypocaloric diet) or intervention group (hypocaloric diet + unsupervised exercise training). Ectopic fat deposition, metabolic parameters, incremental costs from a societal perspective and incremental quality-adjusted life years (QALYs) were assessed before, during and after the six-month intervention period. In the total sample, there was a significant decrease in visceral adipose tissue (VAT: −18.88 cm², 95% CI −11.82 to −25.95), subcutaneous abdominal adipose tissue (SAT: −46.74 cm², 95% CI −29.76 to −63.18), epicardial fat (ECF: −14.50 cm³, 95% CI −10.9 to −18.98) and intrahepatic lipid content (IHL: −3.53%, 95% CI −1.72 to −5.32). Consequently, an “adapted” economic analysis revealed a non-significant decrease in costs and an increase in QALYs after the intervention. No significant differences were found between groups. A multidisciplinary lifestyle approach seems successful in reducing ectopic fat deposition and improving the metabolic risk profile in women with overweight and obesity. The addition of unsupervised exercise training did not further improve the metabolic health or phenotype over the six months.