An adjustable dumbbell assembly of the type including two sets of weights, each including a radial opening extending from a central area to a peripheral area and at least one transversely extending opening in the central area communicating with said radial opening, and a weight supporting assembly operable to selectively connect and disconnect the two sets of weights thereto on opposite sides of a centrally located handle. The weight supporting assembly on each side includes a fixed weight supporting structure, movable weight selector structure, and manually turnable actuating structure. The structures are interrelated with respect to one another, so that when the fixed structure is in an operative position with respect to the weights, manually turning the actuating structure in one direction moves the selector structure in one direction and manually turning the actuating structure in an opposite direction moves the selector structure in the opposite direction.