Abstract: Physical exercise plays an important role in improving adolescents' cognitive ability and academic achievements.However, there is little in-depth empirical research based on national samples. Based on the data of China Education Panel Study,this study analyzes the impact of physical exercise on cognitive ability and academic achievements in adolescents with different characteristics. It is found that: 1) Physical exercise significantly improves the cognitive ability and academic achievements in young students; 2) Physical exercise improves the cognitive ability and academic achievements of young students in low-and middleincome families, but not in high-income families.