Proper sports exercise is important to health, both physically and mentally. However, the benefits from outdoor exercise may be impaired by potential heath risks due to air pollution. As air pollution varies spatially and temporally within a day and a season, it is important to know the proper time for outdoor exercise in order to avoid or minimize potential health risks from inhalation of atmospheric particulate matter such as PM2.5 (i.e., particulate matter having a diameter less than 2.5 µm). The present study determined the increment of inhalation exposure (referred to as ΔFin) to PM2.5 during outdoor exercise due to differences in PM2.5 concentrations between indoor and outdoor environments. Based on PM2.5 data collected by a total of 1505 air quality monitoring stations across 367 Chinese cities in 2014, we investigated the variation of ΔFin between morning (6–8 AM) and evening (6–8 PM) periods in different provinces or districts across China as well as seasonal variations of ΔFin. The results revealed an overall decreasing gradient in ΔFin from the morning to evening periods in most Chinese regions, suggesting that outdoor exercise in the evening leads to less inhalation exposure to PM2.5 and should be given preference over morning exercise. However, the patterns also varied seasonally and geographically, leading to different health advisories on the choice of exercise time.