(1) Background: Physical activity is recommended in patients with type 2 diabetes mellitus (T2DM) and coronary artery disease (CAD) to reduce hyperglycemia and cardiovascular risk. Effective aerobic exercise intensity, however, is not well defined. (2) Methods: 60 consecutive patients performed cardiopulmonary exercise testing (CPX) of 30 min duration targeting a respiratory exchange ratio (RER) between 0.85 and 0.95, being strictly aerobic. Plasma glucose (PG) was measured before and after CPX as well as one and two h after exercise. Maximum exercise intensity was evaluated using a standard bicycle exercise test. (3) Results: 50 patients completed the protocol (62 ± 10 years, BMI (body mass index) 30.5 ± 4.9 kg/m2, HbA1c (glycated haemoglobin) 6.9 ± 0.8%, left ventricular ejection fraction 55 ± 8%). Aerobic exercise capacity averaged at 32 ± 21 Watt (range 4–76 Watt) representing 29.8% of the maximum exercise intensity reached. PG before and after CPX was 9.3 ± 2.2 and 7.6 ± 1.7 mmol/L, respectively (p < 0.0001). PG was further decreased significantly at one and two h after exercise to 7.5 ± 1.6 mmol/L and 6.0 ± 1.0 mmol/L, respectively (p < 0.0001 for both as compared to PG before CPX). (4) Conclusions: Aerobic exercise capacity is very low in patients with CAD and T2DM. Exercise at aerobic intensity allowed for significant reduction of plasma glucose. Individual and effective aerobic exercise prescription is possible by CPX.