Overactivation of the renin–angiotensin (Ang) system (RAS) increases the classical arm (Ang-converting enzyme (ACE)/Ang II/Ang type 1 receptor (AT1R)) to the detriment of the protective arm (ACE2/Ang 1-7/Mas receptor (MasR)). The components of the RAS are present locally in white adipose tissue (WAT) and skeletal muscle, which act co-operatively, through specific mediators, in response to pathophysiological changes. In WAT, up-regulation of the classical arm promotes lipogenesis and reduces lipolysis and adipogenesis, leading to adipocyte hypertrophy and lipid storage, which are related to insulin resistance and increased inflammation. In skeletal muscle, the classical arm promotes protein degradation and increases the inflammatory status and oxidative stress, leading to muscle wasting. Conversely, the protective arm plays a counter-regulatory role by opposing the effect of Ang II. The accumulation of adipose tissue and muscle mass loss is associated with a higher risk of morbidity and mortality, which could be related, in part, to overactivation of the RAS. On the other hand, exercise training (ExT) shifts the balance of the RAS towards the protective arm, promoting the inhibition of the classical arm in parallel with the stimulation of the protective arm. Thus, fat mobilization and maintenance of muscle mass and function are facilitated. However, the mechanisms underlying exercise-induced changes in the RAS remain unclear. In this review, we present the RAS as a key mechanism of WAT and skeletal muscle metabolic dysfunction. Furthermore, we discuss the interaction between the RAS and exercise and the possible underlying mechanisms of the health-related aspects of ExT.