Diabetes mellitus has emerged as one of the main alarms to human health in the 21st century. Pronounced changes in the human environment, behavior and lifestyle have accompanied globalization, which resulted in escalating rates of both obesity and diabetes, already described as diabesity. This pandemic causes deterioration of life quality with high socio-economic costs, particularly due to premature morbidity and mortality. To avoid late complications of type 2 diabetes and related costs, primary prevention and early treatment are therefore necessary. In this context, effective non-pharmacological measures, such as regular physical activity, are imperative to avoid complications, as well as polymedication, which is associated with serious side-effects and drug-to-drug interactions. Our previous work showed, in an animal model of obese type 2 diabetes, the Zucker Diabetic Fatty (ZDF) rat, that regular and moderate intensity physical exercise (training) is able, per se, to attenuate insulin resistance and control glycaemia, dyslipidaemia and blood pressure, thus reducing cardiovascular risk, by interfering with the pathophysiological mechanisms at different levels, including oxidative stress and low-grade inflammation, which are key features of diabesity. This paper briefly reviews the wide pathophysiological pathways associated with Type 2 diabetes and then discusses in detail the benefits of training therapy on glycaemic control and on cardiovascular risk profile in Type 2 diabetes, focusing particularly on antioxidant and anti-inflammatory properties. Based on the current knowledge, including our own findings using an animal model, it is concluded that regular and moderate intensity physical exercise (training), due to its pleiotropic effects, could replace, or at least reduce, the use of anti-diabetic drugs, as well as of other drugs given for the control of cardiovascular risk factors in obese type 2 diabetic patients, working as a physiological "polypill".