Brown fat and beige fat are the so called thermogenic fat, thermogenisis and energy consumption are their physiological effect, activation of thermogenic fat is a new approach to the treatment of obesity and metabolic diseases, but they are different from the source, differentiation, biochemical characteristics, regulation of transcription factors and thermal effect. Physical exercise is associated with adipocyte and the thermogenisis process, researches indicated that it can affect differentiation and thermogenisis process via a variety of signal pathways and effects on brown fat and beige fat, and there has been debated on different modes of exercise affecting the differentiation and metabolism in thermogenic fat. This article reviews the advance and debate of brown fat and beige fat in physical exercise.