Diabetic nephropathy (DN) is a serious complication of diabetes, and its progression is influenced by factors like oxidative stress, inflammation, cell death, and fibrosis. Compared to drug treatment, exercise offers a cost-effective and low-risk approach to slowing down DN progression. Through multiple ways and mechanisms, exercise helps to control blood sugar and blood pressure and reduce serum creatinine and albuminuria, thereby alleviating kidney damage. This review explores the beneficial effects of exercise on DN improvement and highlights its potential mechanisms for ameliorating DN. In-depth understanding of the role and mechanism of exercise in improving DN would pave the way for formulating safe and effective exercise programs for the treatment and prevention of DN.