Background: Improving sleep quality and reducing depressive symptoms may be target mechanisms for intervention-based research aimed at reducing cardiometabolic risk in low-income communities. This study assessed the effects of exercise training on depressive symptoms and sleep in obese women for a low socioeconomic community. The secondary aim explored associations between changes in depressive symptoms and sleep with changes in cardiorespiratory fitness and cardiometabolic risk factors. Methods: Participants were randomized into exercise (n = 20) or control (n = 15) groups. The exercise group completed 12 weeks of combined resistance and aerobic training (40–60 min, 4 d/wk), and the control group maintained habitual diet and activity. Preintervention and postintervention testing included questionnaires on symptoms of depression, psychological distress, and sleep quality. Sedentary time, peak oxygen consumption, body mass index, and insulin sensitivity were measured objectively. Sleep duration (accelerometry) was assessed at preintervention and weeks 4, 8, and 12. Results: Exercise training reduced depressive symptoms (P = .002) and improved sleep quality (P < .001) and sleep efficiency (P = .005). Reduced depressive symptoms were associated with improved peak oxygen consumption (rho = −.600, P < .001), and improved sleep quality correlated with reduced sedentary time (rho = .415, P = .018). Conclusion: These results highlight the potential for community-based exercise interventions to simultaneously address multiple comorbidities in a low-income setting.