EXERCISE WORKS AT LEAST THREE WAYS 1. It increases insulin sensitivity, so you need less insulin to get sugar out of your bloodstream. This allows your insulin levels to drop, which tells your fat cells to slow the conversion of sugar into more fat. 2. It reduces the stress hormone cortisol. Cortisol packs fat around organs (as opposed to under the skin), where it produces lots of pro-inflammatory chemicals, which in turn tell the body to produce still more fat. 3. It builds new blood vessels through muscle and adipose tissues, which enables your body to more readily burn fat.