Background/Objectives: We evaluated changes in body composition, metabolic parameters, and quality of life during liraglutide 3.0 mg treatment within a multimodal obesity-management programme and explored their association with participation in structured exercise. Methods: This prospective, non-randomised, real-world cohort included 70 adults with overweight or obesity receiving liraglutide and medical nutrition therapy 23 participated in the structured exercise group (SEG) and 47 in the non-structured exercise group (NSEG). Results: Sex-adjusted models showed significant changes over time in body weight, BMI, waist circumference, fat mass (FM), skeletal muscle mass (SMM) and several metabolic parameters, without significant time × group interactions for the main body-composition outcomes. Exploratory analyses showed different FM, FFM and SMM loss patterns per kilogram of total body-weight loss between groups (interaction p = 0.001, 0.004, and 0.014, respectively). Quality of life improved in several domains at 6 months. Conclusions: During liraglutide-based multimodal treatment, participants showed reductions in body weight and FM, together with favourable changes in several metabolic and quality-of-life measures. Absolute body composition trajectories were similar between groups, but exploratory analyses showed a different pattern in the composition of weight loss in SEG.