Combining an exercise and nutritional intervention is arguably the optimal method of creating energy imbalance for weight loss. This study sought to determine whether combining exercise and caffeine supplementation was more effective for promoting acute energy deficits and manipulations to substrate metabolism than exercise alone. Fourteen recreationally active participants (mean ± SD body mass index: 22.7 ± 2.6 kg/m2) completed a resting control trial (CON), a placebo exercise trial (EX), and a caffeine exercise trial (EX+CAF, 2 × 3 mg/kg of caffeine 90 min before and 30 min after exercise) in a randomized, double-blinded design. Trials were 4 h in duration with 1 h of rest, 1 h of cycling at ∼65% power at maximum O2 consumption or rest, and a 2-h recovery. Gas exchange, appetite perceptions, and blood samples were obtained periodically. Two hours after exercise, participants were offered an ad libitum test meal where energy and macronutrient intake were recorded. EX+CAF resulted in significantly greater energy expenditure and fat oxidation compared with EX (+250 kJ; +10.4 g) and CON (+3,126 kJ; +29.7 g) (P < 0.05). A trend for reduced energy and fat intake compared with CON (-718 kJ; -8 g) (P = 0.055) was observed. Consequently, EX+CAF created a greater energy deficit (P < 0.05). Caffeine also led to exercise being perceived as less difficult and more enjoyable (P < 0.05). Combining caffeine with exercise creates a greater acute energy deficit, and the implications of this protocol for weight loss or maintenance over longer periods of time in overweight/obese populations should be further investigated.