Previous studies have shown that early exercise preconditioning (EEP) imparts a protective effect on acute cardiovascular stress. However, how mitophagy participates in exercise preconditioning- (EP-) induced cardioprotection remains unclear. EEP may involve mitochondrial protection, which presumably crosstalks with predominant H2O2 oxidative stress. Our EEP protocol involves four periods of 10 min running with 10 min recovery intervals. We added a period of exhaustive running and a pretreatment using phosphoinositide 3-kinase (PI3K)/autophagy inhibitor wortmannin to test this protective effect. By using transmission electron microscopy (TEM), laser scanning confocal microscopy, and other molecular biotechnology methods, we detected related markers and specifically analyzed the relationship between mitophagic proteins and mitochondrial translocation. We determined that exhaustive exercise associated with various elevated injuries targeted the myocardium, oxidative stress, hypoxia-ischemia, and mitochondrial ultrastructure. However, exhaustion induced limited mitochondrial protection through a H2O2-independent manner to inhibit voltage-dependent anion channel isoform 1 (VDAC1) instead of mitophagy. EEP was apparently safe to the heart. In EEP-induced cardioprotection, EEP provided suppression to exhaustive exercise (EE) injuries by translocating Bnip3 to the mitochondria by recruiting the autophagosome protein LC3 to induce mitophagy, which is potentially triggered by H2O2 and influenced by Beclin1-dependent autophagy. Pretreatment with the wortmannin further attenuated these effects induced by EEP and resulted in the expression of proapoptotic phenotypes such as oxidative injury, elevated Beclin1/Bcl-2 ratio, cytochrome c leakage, mitochondrial dynamin-1-like protein (Drp-1) expression, and VDAC1 dephosphorylation. These observations suggest that H2O2 generation regulates mitochondrial protection in EEP-induced cardioprotection.