Exercise promotes adipose remodeling and improves obesity-induced metabolic disorders through mechanisms that remain obscure. Here, we identify the FGF21 signaling in adipose tissues as an obligatory molecular transducer of exercise conferring its metabolic benefits in mice. Long-term high fat diet-fed obese mice exhibit compromised effects of exogenous FGF21 on alleviation of hyperglycemia, hyperinsulinemia, and hyperlipidemia, accompanied with markedly reduced expression of FGF receptor-1 (FGFR1) and β-Klotho (KLB) in adipose tissues. These impairments in obese mice are reversed by treadmill exercise. Mice lacking adipose KLB are refractory to exercise-induced alleviation of insulin resistance, glucose dysregulation, and ectopic lipid accumulation due to diminished adiponectin production, excessive fatty acid release, and enhanced adipose inflammation. Mechanistically, exercise induces the adipose expression of FGFR1 and KLB via peroxisome proliferator-activated receptor-gamma-mediated transcriptional activation. Thus, exercise sensitizes FGF21 actions in adipose tissues, which in turn sends humoral signals to coordinate multi-organ crosstalk for maintaining metabolic homeostasis.