The goal setting theory has been successfully applied to each and every enterprise in various industries since Locke advanced it in 1968. This theory has been verified to be the most effective and important approach to encourage the employees, boost the working morale, increase the productivity and even raise the performance of sport. However, it is rarely to see the goal setting theory being applied to the exercise. In view of this, this paper hereby seeks to introduce how the goal setting theory could be applied to the exercise by adopting the method of literature reviews and takes the examples for supplementary explanations, and ultimately expects to be beneficial to the exercise enthusiasts somewhat.