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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.

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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.

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