The literature on pulmonary gas exchange at rest, during exercise, and with weight loss in the morbidly obese (body mass index or BMI ≥ 40 kg m−2) is reviewed. Forty-one studies were found (768 subjects weighted mean = 40 years old, BMI = 48 kg m−2). The alveolar-to-arterial oxygen partial pressure difference (AaDO2) was large at rest in upright subjects at sea level (23, range 5–38 mmHg) while the arterial pressure of oxygen (PaO2) was low (81, range 50–95 mmHg). Arterial pressure of carbon dioxide (PaCO2) was normal. At peak exercise (162 W), gas exchange improves. Weight loss of 45 kg (BMI = −13 kg m−2) over 18 months is associated with an improvement in PaO2 (by 10 mmHg, range 1–23 mmHg), a reduction in AaDO2 (by 8 mmHg, range −3 to −16 mmHg), and PaCO2 (by −3 mmHg, range 3 to −14 mmHg) at rest. Every 5–6 kg reduction in weight increases PaO2 by 1 and reduces AaDO2 by 1 mmHg, respectively. Morbidly obese women have better gas exchange at rest compared with morbidly obese men which is likely due to lower waist-to-hip ratios in women than from differences in weight or BMI.