Why do you gain weight when you start exercising?

Because they consume more calories than they expend. People eat too much and exercise too little. You could write an entire book examining how this happens. Junky food is cheap, ubiquitous and well advertised. Modern life and conveniences have made it so we don't have to exert ourselves at all, and most jobs don't require physical activity. As a result, people now have to work to get enough exercise and watch what they eat to stay in shape- yet they don't.