This research examines the relationship between physical exercise and subjective well-being via the mediation of body image and self-esteem, thereby providing some suggestions on the improvement of subjective well-being in college students. A total of 671 college students from three universities of science and engineering in Sichuan, China voluntarily participated in the survey. Descriptive statistics, Pearson’s product-moment correlation, and mediation model analysis were conducted using the SPSS statistics 19.0. The results showed that (1) the physical exercise level was positively and significantly correlated with the subjective well-being level in each dimension ( R = 0.12–0.64, p < 0.01) (2) college students with the medium and high level of exercise have higher subjective well-being than those with the low level of exercise, and (3) body image and self-esteem played a complete mediation role between physical exercise and subjective well-being. The mediation analysis revealed two paths: first, the single mediating path via self-esteem [indirect effect = 0.087, 95% CI: (0.037, 0.141)] and second, the serial mediating path via body image and self-esteem [indirect effect = 0.038, 95% CI: (0.021, 0.158)]. Some practical implications have been discussed on the physical exercise intervention for promoting the subjective well-being level in college students.