Exercise strengths your cardiovascular system, immune system, improves bone strength, builds muscle (which helps you as you age, preventing the risk of falling and fall related injury), improves mental health, reduces stress. If your in good physical shape, it's less of an issue if you carry around a little extra fat.

You can still be in bad health, even if your weight is spot on, but it's rare that you exercise a lot, but is overall unhealthy.