It has been confirmed that exercise preconditioning (EP) has a protective effect on acute cardiovascular stress. However, how Hsp70 participates in EP-induced cardioprotection is unknown. EP may involve Hsp70 to repair unfolded proteins or may also stabilize the function of the endoplasmic reticulum via Hsp70-related autophagy to work on a protective formation. Our EP protocol involves four periods of 10 min running with 10 min recovery intervals. We added a period of exhaustive running to test this protective effect, using histology and molecular biotechnology methods to detect related markers. EP provided cardioprotection at its early and late phases against exhaustive exercise-induced ischemic myocardial injury. Results showed that Hsp70 co-chaperone protein BAG3, ubiquitin adaptor p62 and critical autophagy protein LC3 were significantly upregulated at the early phase. Meanwhile, Hsp70, Hsp70/BAG3 co-localization extent, LC31 and LC3II were significantly upregulated at the late phase. Hsp70 mRNA levels and LC3II/I ratios were also consistent with the extent of myocardial injury following exhaustive exercise. Hsp70 increase was delayed relative to BAG3 and p62 after EP, indicating a pre-synthesized phenomenon of BAG3 and p62 for chaperone-assisted selective autophagy (CASA). The decreased Hsp70, BAG3 and p62 levels and increased Hsp70/BAG3 co-localization extent and LC3 levels induced by exhaustive exercise after EP suggest that EP-induced cardioprotection might associate with CASA. Hsp70 has a cardioprotective role and has a closer link with CASA in LEP. Additionally, EP may not cause exhaustion-dependent excessive autophagy regulation. Collectively, during early and late EP, CASA potentially plays different roles in cardioprotection.