It depends on your goals, but, TL;DR: fat loss is achieved in the kitchen, not the gym.

If you are trying to maximize fat loss, I would simply eat the same calories regardless of activity level. This will increase your caloric deficit, meaning leaning out faster.

If you are doing resistance training (e.g. lifting weights), and are not a beginner (e.g. have a couple years consistent training), and are trying to build strength and/or muscle, then it may make sense to bump protein consumption on days you train. Increasing your muscle will decrease your body fat percentage, which means an increase of total daily energy expenditure (TDEE) at a given weight, in addition to numerous other benefits (e.g. joint and bone health, etc.).

Note that if you are not doing resistance training while on a significant caloric deficit (>5-10%), or if you are already at a low body fat percentage, expect to lose muscle, in addition to fat. That's just the way it works.

That being said, a caloric deficit exceeding 30% of your TDEE, may be difficult to maintain for more than a couple weeks. On a 2000 calorie TDEE, that would mean consuming 1400 calories per day, leading to a sustainable average of losing 1.2 lbs per week (e.g. some weeks less, some weeks more, especially at the beginning when water weight held by high-carb intake flushes out).

Combined with sufficiently-intensive exercise for an hour, 3 times a week burning 300 calories each time (a reasonable estimate), yields "merely" an extra 1/4 lb per week. The energy input (food calories) is way more tunable than output (exercise).

That being said, my personal belief is that calorie estimates on MFP for working out are often _greatly_ overestimated. I have seen "burned 600 calories doing 30 minutes of gardening" whereas it'll estimate a "mere" 300 calories for an hour of strength training.