Background: Exercise therapy plays an important role in the prevention and treatment of type 2 diabetes (T2DM). The mechanism of exercise therapy in the improvement of glycolipid metabolism of T2DM is very complex and not completely clear. Summary: Exercise training improves the whole body metabolic health in patients with T2DM, leading to an increase in glycolipid uptake and utilization, improved insulin sensitivity, optimized body mass index, and modulated DNA methylation, etc. Recent findings support that some cytokines such as irisin, osteocalcin, and adiponectin are closely related to exercise and metabolic diseases. This study briefly reviews the physiological mechanisms of exercise therapy in diabetes and the potential role of these cytokines in exercise. Key Messages: More high-quality, targeted, randomized controlled studies are needed urgently, from mechanism study to treatment direction, to provide a more theoretical basis for exercise therapy and to explore new therapeutic targets for diabetes.