Air pollution, particularly fine particulate matter (PM2.5), poses a major threat to human health. Exercise has long been recognized as a beneficial way to maintain physical health. However, there is limited research on whether exercise can mitigate the damage caused by PM2.5 exposure. In this study, the mice were exercised on the IITC treadmill for 1 h per day, then exposed to concentrated PM2.5 for 8 h. After 2, 4 and 6-month exercise and PM2.5 exposure, the glucose tolerance and insulin tolerance were determined. Meanwhile, the corresponding indicators in epididymal white adipose tissue (eWAT), brown adipose tissue (BAT) and skeletal muscle were detected. The results indicated that PM2.5 exposure significantly increased insulin resistance (IR), while exercise effectively attenuated this response. The observations of muscle, BAT and eWAT by transmission electron microscopy (TEM) showed that PM2.5 significantly reduced the number of mitochondria in all of the three tissues mentioned above, and decreased the mitochondrial area in skeletal muscle and BAT. Exercise reversed the changes in mitochondrial area in all of the three tissues, but had no effect on the reduction of mitochondrial number in skeletal muscle. At 2 months, the expressions of Mfn2, Mfn1, OPA1, Drp1 and Fis1 in eWAT of the PM mice showed no significant changes when compared with the corresponding FA mice. However, at 4 months and 6 months, the expression levels of these genes in PM mice were higher than those in the FA mice in skeletal muscle. Exercise intervention significantly reduced the upregulation of these genes induced by PM exposure. The study indicated that PM2.5 may impact mitochondrial biogenesis and dynamics by inhibiting the SIRT1/AMPKα/PGC1-α/NRF1 pathway, which further lead to IR, glucose and lipid disorders. However, exercise might alleviate the damages caused by PM2.5 exposure.