Obesity in childhood and adolescence represents a serious health problem worldwide. Similarly, eating disorders (EDs) are complex diseases that affect adolescents with an increasing prevalence and are an alarming health concern to both physical and mental health. Traditionally, obesity and EDs, particularly binge eating disorder (BED), have been considered separate conditions, but there is emerging evidence such as etiology, comorbidities, risk factors, psychosocial impairment, and prevention approaches, highlighting important overlaps among these conditions. In youth, the two conditions share risk factors and consequences at both the physical and psychological levels, requiring special care. Exercise, useful as strategy to prevent and treat overweight conditions, may have beneficial effects on BED symptoms, suggesting that it may be considered as one of the key factors in the treatment of individuals affected by obesity with BED. The purpose of this narrative review is to examine the bidirectional impact of obesity and BED in adolescents, in terms of risk factors, etiology and comorbid conditions. Specifically, we focused on the benefits of physical activity (PA) in the multidisciplinary treatment of subjects affected by obesity with BED. Even though additional research is needed to reach conclusions about the role of exercise in the treatment of obesity and comorbid BED, especially in adolescents, promising results have already suggested that closely monitored exercise is safe and, paired with cognitive behavioral therapy, may provide multiple benefits on both the physical and psychological levels. Tailored and integrated treatments for weight management and eating disorders are important to promptly and effectively treat obese subjects that have BED.