The most common and most likely answer to this crossword clue is the 6 letter word WALKER
I've seen this crossword clue in The Guardian
W
A
L
K
E
R
Buddy explains!

The straight part
We know that "He exercises" is the straight/definition part of the clue. The straight part is often a synonym or definition, in this case he exercises = walker.The cryptic/wordplay part
In cryptic crossword there's often an wordplay/cryptic part as well.This part involves a more complex hint, such as an anagram, homophone, hidden word, etc.
Sadly, We don't have an explanation for this specific crossword clue yet.
What does WALKER mean?
WALKER noun- The agent noun of to walk: a person who walks or a thing which walks, especially a pedestrian or a participant in a walking race.
- A walking frame.
- (often in the plural) A shoe designed for comfortable walking.
- A zombie.
- A male escort who accompanies a woman to an event.
- A gressorial bird.
- A forester.
- A kind of military robot or mecha with legs for locomotion.
- A person who fulls cloth.
- A convex, rounded or grooved tool, used by blacksmiths for shaping metal.
- A groove made by such a tool (in the blade of a sword etc.).