Initially when one begins to exercise one may notice a slight increase in weight due to muscle build up. Gradually one begins to lose fat and weight would tend to get normalized. Another possibility is inadequate (too high or too low) calorie intake which may trigger weight gain. If these possibilities have bee ruled out and one still has difficulty losing weight, to a normal BMI; it is advised to consult a doctor to rule out hormonal/ endocrine issues that could hamper progress.
Hope this is helpful.