Energy expenditure (EE) monitoring is crucial to tracking physical activity (PA). Accurate EE monitoring may help people engage in adequate activity and therefore avoid obesity and reduce the risk of chronic diseases. This study proposes a depth-camera-based system for EE estimation of PA in gyms. Most previous studies have used inertial measurement units for EE estimation. By contrast, the proposed system can be used to conveniently monitor subjects' treadmill workouts in gyms without requiring them to wear any devices. A total of 21 subjects were recruited for the experiment. Subjects' skeletal data acquired using the depth camera and oxygen consumption data simultaneously obtained using the K4b device were used to establish an EE predictive model. To obtain a robust EE estimation model, depth cameras were placed in the side view, rear side view, and rear view. A comparison of five different predictive models and these three camera locations showed that the multilayer perceptron model was the best predictive model and that placing the camera in the rear view provided the best EE estimation performance. The measured and predicted metabolic equivalents of task exhibited a strong positive correlation, with r = 0.94 and coefficient of determination r = 0.89. Furthermore, the mean absolute error was 0.61 MET, mean squared error was 0.67 MET, and root mean squared error was 0.76 MET. These results indicate that the proposed system is handy and reliable for monitoring user's EE when performing treadmill workouts.