Obesity is an important risk factor for the development and progression of chronic metabolic diseases such as diabetes, fatty liver and cardiovascular diseases. Endocrine factor fibroblast growth factor 21 (FGF21), which has multiple beneficial effects on energy homeostasis and glucose and lipid metabolism, serves as a promising therapeutic target for obesity and related metabolic diseases. FGF21 relies on high-affinity interaction with β-klotho (KLB) for recruitment and localization to the cell surface, where it engages FGF receptors (FGFRs). Obesity has been demonstrated as a FGF21 resistant state, in which circulating FGF21 levels are elevated while its downstream signaling and action are impaired. This may be caused by the decreased expression of KLB and FGFRs. Improving FGF21 resistance emerges as a new therapeutic strategy for obesity and its associated diseases. Exercise has long been considered as a cornerstone for the prevention and treatment of obesity and its related metabolic diseases. Evidence is mounting that FGF21 plays an important role in exercise-mediated health promotion. Exercise not only increases the expression of FGF21 in adipose tissue, skeletal muscle and heart, but also stimulates the expression of FGFRs and KLB to sensitize the effect of FGF21 and improve FGF21 resistance in target tissues such as adipose tissue. Knockout experiments confirmed FGF21 as a key mediator of exercise-induced improvements in obesity and related metabolic diseases. There are many issues that need further study. Circulating FGF21 is mainly derived from the liver. However, uncertainty about the long-term effects of exercise on liver FGF21 expression still remains. In most research, a single pharmacological dose of FGF21 was used to determine FGF21 sensitivity. Whether exercise improves the physiological effects and the long-term effects of FGF21 also needs further investigation. Clariying these issues has important implications for our understanding of how exercise ameliorates obesity and its related metabolic diseases through FGF21 signaling.