Usually when you increase exercise, your body decreases its non-exercise calorie burn (NEAT), so your total calorie needs don’t change much. As a result, exercise is usually a wash for weight loss, unless you’re working hard to maintain your NEAT.
(Exercise is still extremely good for you though!! Highly recommend!!!)
I also find it challenging to put on weight when exercising, but to make this comment more accurate you may want to caveat that this is how your body responds to exercise.
Many people appear to experience a commensurate increase in appetite after exercise such that they do not lose weight unless they also consciously restrict calories.
With low intensity endurance training (cycling in zone 2) I find my appetite adjusts accordingly, and remains high for a period even if I'm not doing the exercise, and that's when I gain the weight.
Resistance training (bouldering for me) seems to have little effect one way or the other.
If I'm doing High intensity interval training (usually stair sprints) on a regular basis, it's hard to eat enough, my metabolism gets absolutely jacked.
I feel like this is an oversimplification. Exercise has compounding effects. That 1 hour of effort doesn't just burn 800, even if that's all that is used in 1 hour. The increase in metabolism ups your burn for the rest of the hours in the day (some at least, trailing off presumably). And any increase in BMR or muscle mass will keep that per hour calorie cost even higher.
(Exercise is still extremely good for you though!! Highly recommend!!!)