Parkinson’s disease (PD) is the second most common rapidly progressive neurodegenerative disease and has serious health and socio-economic consequences. Mitochondrial dysfunction is closely related to the onset and progression of PD, and the use of mitochondria as a target for PD therapy has been gaining traction in terms of both recognition and application. The disruption of mitochondrial proteostasis in the brain tissue of PD patients leads to mitochondrial dysfunction, which manifests as mitochondrial unfolded protein response, mitophagy, and mitochondrial oxidative phosphorylation. Physical exercise is important for the maintenance of human health, and has the great advantage of being a non-pharmacological therapy that is non-toxic, low-cost, and universally applicable. In this review, we investigate the relationships between exercise, mitochondrial proteostasis, and PD and explore the role and mechanisms of mitochondrial proteostasis in delaying PD through exercise.