There may be an explanation for why those gym workouts seem not to have any effect - US experts suggest some people benefit less from exercise.
UK experts say people should still exercise
Louisiana University researchers put 742 people through a strenuous 20-week endurance training programme.
Measures such as oxygen consumption improved in some, but not in others, New Scientist magazine revealed.
UK sports experts said people did differ - and that was why they should have tailored exercise programmes.
The researchers selected the volunteers from 213 families,
None of the participants had undertaken regular physical activity for the previous six months.
All were asked to use exercise bikes. By the last six weeks of the study, they were exercising for 50 minutes, three times a week, at 75% of the maximum output they were capable of before the study.
Previous research had suggested that people do vary in their "trainability" - how much improvement is likely to be seen after an exercise regime.
In this study, the researchers found training improved maximum oxygen consumption, a measure of a person's ability to perform well, by an average of 17%.
But the most "trainable" participants improved by 40% - and the least showed no improvement at all.
Similar patterns were seen when other fitness measures such as cardiac output, blood pressure, heart rate were checked.
When the researchers looked at insulin resistance, a marker of risk for heart disease and diabetes, they found it had improved in 58% of participants following the exercise regime but stayed the same, or even fell, in 42%.
The team also compared the eight who showed the highest improvement in insulin sensitivity and the eight who had least.
The study was presented to the Australian Health and Medical Research Congress in Sydney.
Claude Bouchard, who led the research, said: "There is an astounding variation in the response to exercise.
"The vast majority will benefit in some way, but there will be a minority who will not benefit at all."
Kathryn North of the Institute of Neuromuscular Research at the Children's Hospital at Westmead, Sydney, said: "It's negative, but it's true. Some people slog away and don't get any improvement."
Mark Hargreaves, of Deakin University, Melbourne, added: "We need to recognise that, although on average exercise may have clear benefits, it may not work for everyone.
"Some people may do better to change their diet."
But Sam Howells, senior sports physiologist at Lilleshall Sports Injury and Human Performance Centre, said: "It would be worrying if these findings deterred people from exercising.
"What this study shows is that everyone is unique.
"That's why fitness programmes should be tailored to an individual's needs.
"But everyone should do something to try to stay fit."
Linda Bishop Bailey, of the Institute of Sport and Recreation Management, said: "This research will be music to the ears of the UK's army of couch potatoes.
She added: "Although this study focuses on the physical benefits of exercise we mustn't forget that there are other benefits too. Fitness is fun and has psychological benefits such as helping to combat stress.
"Worryingly at this time of year gyms across the UK see a lot of people who have over indulged at Christmas and try to make up for it by binge-exercising in the New Year.
"When they don't see immediate results they get de-motivated and give up."