Pilates is considered strength training, not cardio, which means that you won't burn a lot of calories doing Pilates.
However, as you get stronger and you build muscle because of Pilates, you will burn additional calories in a resting state. Muscles burn more calories just laying around there.
Also, if you're doing Pilates well and you are building muscle and retraining your body, you will find that even if you don't lose weight, you may find your clothes fitting better. And even if that doesn't happen immediately, if you're building your core muscles, you'll be fixing your posture (most of us have crappy posture) and you'll stand taller and look thinner (even if the scale or the muscles don't change).
Also note that there are different types of pilates -- mat classes are different than the reformer or cadillac classes. If you find the mat classes to be too easy, you need to increase the level or find a new teacher or move to the reformer/cadillac classes.
And combine it with other cardio! Pilates is about muscle training, it's not about burning calories.
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