The aim of this study was to evaluate the feasibility and preliminary efficacy of an intervention comprised of regular exercise alongside educational and motivational support for participants’ avoidance of unhealthy compensatory eating. Forty-five sedentary individuals were randomized to an 8-week exercise plus compensatory eating avoidance program (CEAP; n = 24), or an 8-week exercise intervention only (control; n = 21). The feasibility and preliminary efficacy of the intervention were assessed using quantitative measures and supplemented with written responses to open-ended questions. The CEAP workshop was well-received; however, self-reported use of some of the included behavior change strategies was lower than expected. Post-intervention, there was evidence of reduced self-reported compensatory eating for participants in the CEAP group but not controls, with CEAP participants also reporting greater use of coping plans relative to controls post-intervention. The exercise program had benefits for waist circumference, body fat percentage, blood pressure, and cardiovascular fitness; however, improvements were similar between groups. Taken together, the results of this study indicate that the CEAP is feasible and may reduce compensatory eating around exercise; however, this effect is small. Potential modifications to the CEAP are discussed within the paper.