Obesity, air pollution, and exercise induce alterations in the heat shock response (HSR), in both intracellular 70 kDa heat shock proteins (iHSP70) and the plasmatic extracellular form (eHSP72). Extra-to-intracellular HSP70 ratio (H-index = eHSP70/iHSP70 ratio) represents a candidate biomarker of subclinical health status. This study investigated the effects of moderate- and high-intensity exercise in the HSR and oxidative stress parameters, in obese mice exposed to fine particulate matter (PM2.5). Thirty-day-old male isogenic B6129F2/J mice were maintained for 16 weeks on standard chow or high-fat diet (HFD). Then, mice were exposed to either saline or 50 μg of PM2.5 by intranasal instillation and subsequently maintained at rest or subjected to moderate- or high-intensity swimming exercise. HFD mice exhibited high adiposity and glucose intolerance at week 16th. HFD mice submitted to moderate- or high-intensity exercise were not able to complete the exercise session and showed lower levels of eHSP70 and H-index, when compared to controls. PM2.5 exposure modified the glycaemic response to exercise and modified hematological responses in HFD mice. Our study suggests that obesity is a critical health condition for exercise prescription under PM2.5 exposure.