Mitochondria play a pivotal role in innate immunity. Specifically, mitochondria can trigger innate immune response by releasing various damage associated molecular patterns (DAMPs), such as mitochondrial DNA (mtDNA), mitochondrial transcription factor A (TFAM), mitochondrial N-formyl peptides (F-MITs). However, the virus also uses a corresponding mechanism to suppress the innate immunity induced by mitochondrial DAMPs. It is well known that moderate exercise has a positive and healthy effect on the immune system, while high-intensity exercise has the opposite effect. Importantly, exercise is also intimately related to mitochondria. Thus, exercise is likely to regulate innate immunity through the release of mitochondria DAMPs. This paper reviews the link between mitochondrial DAMPs and innate immunity and explores the role of exercise in it, so as to provide new research ideas for the regulation mechanism of exercise on innate immunity from the perspective of mitochondria.