Background <p>With the deepening urbanization process and the aging trend, lack of social interaction and weak support networks exert significant impacts on the subjective well-being of migrant elderly. Objective<b>:</b> This study examines how physical exercise influences among migrant elderly, focusing on the mediating roles of social support and psychological capital. Methods: Survey data from 562 elderly migrants were analyzed by using reliability analysis, confirmatory factor analysis, common method bias tests, and structural equation modeling via AMOS. Results<b>:</b> First, physical exercise showed a significant positive correlation with subjective well-being in migrant elderly (β = 0.27, P &lt; 0.001). Second, social support (β = 0.17, p &lt; 0.001) and psychological capital (β = 0.13, p &lt; 0.001) independently mediated this relationship. Finally, social support → psychological capital played a chain-mediated role in enhancing subjective well-being in migrant elderly (β = 0.07, p &lt; 0.001). Conclusion<b>:</b> Physical exercise can improve subjective well-being in migrant elderly through the chain mediation of social support and psychological capital. This suggests that physical exercise might be a beneficial approach to enhance subjective well-being in migrant elderly.</p>