Exercise is known to improve insulin sensitivity (SI); however, studies to date have been confounded by negative energy deficits after exercise. Purpose The primary objective of this study was to assess the effect of 8 to 16 wk of aerobic exercise training on the SI of untrained women under rigorously controlled energy-balanced conditions. The secondary objective was to determine if one acute bout of moderate-intensity continuous (MIC) or high-intensity interval (HII) exercise further affected SI. Methods: Insulin sensitivity was assessed in 28 untrained women at baseline, after 8 to 16 wk of training with no-exercise (NE) before assessment, 22 h after MIC (50% V-O 2peak ), and 22 h after HII (84% V-O 2peak ) using a hyperinsulinemic-euglycemic clamp. Participants were in a whole-room indirect calorimeter during each condition, and food intake was adjusted to ensure energy balance across 23 h before each clamp. Results: There were no significant differences in acute energy balance between each condition. Results indicated a significant main effect of time, such that SI was higher during the HII condition compared with both baseline and NE (P < 0.05). No significant differences in SI were observed after NE or MIC. Conclusions: Widely reported improvements in SI in response to chronic exercise training may be mediated in part by shifts in energy balance. However, an acute bout of HII exercise may increase SI even in the context of energy balance.