Background: Previous studies have reported that financial strain has deleterious effects on healthy behaviors. Moreover, social support is expected to mitigate these effects, but few studies have investigated the effects of exercise; thus, the investigation can deepen our understanding of the relationship between social support and physical activity=exercise. We examined the relationship between financial strain and frequency of exercise, and the role of social support in this relationship in old age. Methods: Data came from a 19-year longitudinal study conducted between 1987 and 2006 of Japanese adults aged 60 or more with up to seven repeated observations. Frequency of exercise was assessed using a four-point scale. Financial strain was measured using the responses to three questions related to financial condition. This study considered both emotional and instrumental supports. Covariates included demographic and socioeconomic factors, health behaviors, and health condition. Results: The analysis included 3,911 participants. The results of a generalized estimation equation model showed that among females, greater financial strain in the previous wave was associated with reduced frequency of exercise (b = −0.018; 95% confidence interval, −0.032 to −0.004), and that as financial strain increased, those who received more instrumental support engaged in less exercise than those who received less support (b = −0.009; 95% confidence interval, −0.017 to −0.002). These relationships were not observed among males. Conclusion: This study provides evidence that financial strain is negatively correlated with frequency of exercise among older females. In addition, instrumental support is negatively correlated with frequency of exercise among females under financial strain.