An adjustable weight exercise device where the weights nest one inside the other to stack the weights. A handle or bar is provided to lift the weights with. A pin extending through a weight and the handle connects the weights to the handle. Each weight has a separate aperture to connect the handle to the weight. Since the weights are nested the handle will lift the weight it is connected to and all the weights nested inside thereby adjusting the weight of the exercise device. The nested weight system can be used with dumbells, barbells or weight lifting exercise machines to quickly, safely and easily change the weights to be lifted.