Physical exercise and exposure to air pollution have counteracting effects on individuals' health outcomes. Knowledge on individuals' real-time exercise behavior response to different pollution information sources remains inadequate. This study aims to examine the extent to which individuals avoid polluted air during exercise activities in response to different air pollution information sources. We used data on individuals' exercise behaviors captured by wearable and mobile devices in 83 Chinese cities over a 2-year time span. In our data set, 35.99% (5896/16,379) of individuals were female and 64% (10,483/16,379) were male, and their ages predominantly ranged from 18 to 50 years. We further augmented the exercise behavior data with air pollution information that included city-hourly level measures of the Air Quality Index and particulate matter 2.5 concentration (in µg/m3), and weather data that include city-hourly level measures of air temperature (ºC), dew point (ºC), wind speed (m/s), and wind direction (degrees). We used a linear panel fixed effect model to estimate individuals' exercise-aversion behaviors (ie, running exercise distance at individual-hour, city-hour, or city-day levels) and conducted robustness checks using the endogenous treatment effect model and regression discontinuity method. We examined if alternative air pollution information sources could moderate (ie, substitute or complement) the role of mainstream air pollution indicators. Our results show that individuals exhibit a reduction of running exercise behaviors by about 0.50 km (or 7.5%; P<.001) during instances of moderate to severe air pollution, and there is no evidence of reduced distances in instances of light air pollution. Furthermore, individuals' exercise-aversion behaviors in response to mainstream air pollution information are heightened by different alternative information sources, such as social connections and social media user-generated content about air pollution. Our results highlight the complementary role of different alternative information sources of air pollution in inducing individuals' aversion behaviors and the importance of using different information channels to increase public awareness beyond official air pollution alerts.