While it is well known that exercise training is associated with improvement in subjective well-being among older adults, it is unclear if individuals with cognitive impairment experience the same effects elicited by exercise on subjective well-being. We further explored whether the bilateral anterior insula network may be an underlying neural mechanism for the exercise training-related improvements in subjective well-being. We investigated the effects of exercise training on subjective well-being in older adults (78.4 ± 7.1 years) with mild cognitive impairment (MCI; n = 14) and a cognitively normal (CN; n = 14) control group. We specifically assessed the relationship between changes in subjective well-being and changes in functional connectivity (FC) with the bilateral anterior insula from before to after exercise training. Cardiorespiratory fitness, subjective well-being, and resting-state fMRI were measured before and after a 12-week moderate-intensity walking intervention. A seed-based correlation analysis was conducted using the bilateral anterior insula as a priori seed regions of interest. The associations between bilateral anterior insula FC with other brain regions and subjective well-being were computed before and after exercise training, respectively, and the statistical difference between the correlations (before vs after exercise training) was evaluated. There was a significant Group (MCI vs CN) × Time (before vs after exercise training) interaction for subjective well-being, such that while those with MCI demonstrated significantly increased subjective well-being after exercise training, no changes in subjective well-being were observed in CN. Participants with MCI also showed an exercise training-related increase in the bilateral anterior insula FC. While there was no significant correlation between subjective well-being and bilateral anterior insula FC before exercise training, a positive association between subjective well-being and bilateral anterior insula FC was found in the MCI group after exercise training. Our findings indicate that 12 weeks of exercise training may enhance subjective well-being in older adults diagnosed with MCI and, further, suggest that increased bilateral anterior insula FC with other cortical regions may reflect neural network plasticity associated with exercise training-related improvements in subjective well-being.