Regular physical activity promotes cardiorespiratory fitness and has been considered a cornerstone for non-pharmacological treatment of more than 17 million Americans with diabetes mellitus. Physical exercise has been shown to positively affect certain cardiovascular risk factors such as insulin resistance, glucose metabolism, blood pressure and body fat composition, which are closely associated with diabetes and heart disease. With the increasingly sedentary life style in our society, routine daily exercise of moderate intensity is highly recommended to reduce cardiovascular risk, the leading cause of death in diabetic patients. Exercise produces many beneficial effects to the heart function such as reduced incidence of coronary heart disease, attenuated severity of diabetic cardiomyopathy, improved cardiac performance, cardiac reserve and autonomic regulation. Nevertheless, many diabetic patients do not appear to gain much benefit from exercise or may even be at risk of performing physical exercise. This review summarizes the benefit and risk of exercise on diabetic heart function, with a special emphasis on myocardial and autonomic function.