Exergames are defined as digital games that require bodily movements to play, stimulating an active gaming experience to function as a form of physical activity (PA). The players interact with the game through whole-body movements improving energy expenditure. Exergames may be effective in improving physical and psychological aspects of children and adolescents with obesity. In this narrative review, we synthesized the current evidence regarding the role of exergames in modifying body composition and weight and in promoting changes in sedentary behavior to define the benefits of active video games as useful tools for fighting sedentarism and to outline the future directions of exergaming as a supplementation exercise rather than a replacement in educational programs for pediatric obesity. Data from the literature indicate that exergames may offer an interesting impact on childhood obesity and may be considered a potential strategy for controlling weight gain and body composition, promote PA, and decrease time spent on sedentary behavior in children and adolescents with obesity. However, exergame use also has some limits, such as children’s poor self-regulation and poor structuring of exergame use. Therefore, a prudent approach should be maintained, and additional high-quality research is needed to determine if exergames can be effectively used in the treatment of childhood obesity and if new digital media, as a supplementation of exercise rather than a replacement, could be considered to combat sedentary behavior in educational programs for pediatric obesity prevention.