Abstract: Based on CASS 2017 survey data, this paper discusses the wage premium effect of physical exercise through the propensity value matching analysis. Two groups of cases with the characteristics of highly similar socioeconomic status are extracted from the data: the experimental group (often participating in physical exercise) and the control group (not often participating in physical exercise). It is found that the wage premium effect of regular physical exercise is 7.36%, after controlling the characteristics of people's socioeconomic status. That is, regular physical exercise can bring about the improvement of people's wage income. On this basis, the further study indicates that the relationship between physical exercise and wage premium is not simple linear, but presents an inverted U-shaped one. And the effect of physical exercise on wage premium is the highest when doing exercise 2-3 times a week. This paper explores the specific mechanism of wage premium generated by physical exercise, and shows that physical health, mental health, social ability and social capital are the three mechanisms of wage premium generated by physical exercise.