A weight plate for use in an adjustable weight set includes a weight plate member having a plate surface. A locking mechanism on the weight plate member secures the weight plate to another weight plate of the set. The locking mechanism comprises a plurality of spaced apart locking elements each being formed by at least one cut in the weight plate member. At least a portion of each locking element is displaced from the plate surface forming a slot behind the locking element. The slot receives a locking element on another weight plate of the set to secure the weight plate to the other weight plate. The locking elements are arranged relative to each other and to a centrally disposed hole in the weight plate for securely retaining the weight plate and the weight plates to each other.