Objective This study aimed to explore the role of nine microRNAs (miRNAs) in microparticles (MPs) on the efficacy of aerobic exercise in the regulation of inflammation and vascular function in obesity. Methods Sedentary women with normal weight (n = 6, BMI < 25 kg/m2) and women with obesity (n = 9, BMI > 30 kg/m2) were recruited at F. Hached Hospital (Sousse, Tunisia) and enrolled in an 8‐week aerobic program. Vascular function was assessed using laser Doppler flowmetry/iontophoresis, circulating MPs by flow cytometry, miRNAs by real‐time polymerase chain reaction, and inflammation by ELISA, before and after exercise. Results Women with obesity presented with high prevalence of cardiovascular risk factors and a higher circulating MP level compared with healthy subjects. The MP miRNA profile was significantly different in the two groups. Exercise reduced BMI and inflammation in both groups and significantly improved endothelial‐dependent response (acetylcholine cutaneous vascular conductance) for healthy subjects, with a trend for women with obesity. Circulating MP level was increased after exercise, and miRNA expression was differentially modulated in both populations. Pearson analysis revealed a correlation between MPs miR‐124a and miR150 and adiponectin, TNFα, or IL‐6 levels. Conclusions The relation between MPs and miRNA profile, inflammation, vascular function, and exercise is of particular interest for defining “miRNA biomarker signature” in patients with cardiovascular disease who are potentially susceptible to respond to exercise.