The objective of this study is to identify the relationship between physical exercise and the feelings of well-being of the retired elderly. Face-to-face questionnaire survey was adopted, and quota sampling was chosen to select the respondents. A total of 352 valid questionnaires were collected in selected parks in Taipei. The survey found that the Taiwanese retired elderly participated in a wide range of sports, from light exercise such as walking to vigorous exercise such as tennis and aerobics, and their participation frequency was very high. Most of the respondents (87.2%) were defined as having positive well-being. The results showed that exercise frequency and well-being were positively correlated, but a negative correlation was found between exercise intensity and well-being. The survey found that the intensity of exercise was self-evaluated by as being low to moderate, but most of the activities were in the categories of moderate or vigorous intensity according to the metabolic equivalents suggested by American College of Sports Medicine. The study suggest that the elderly felt more comfortable and gained more pleasure psychologically while participating in exercises less intensive. As a result, the retired elderly are recommended to take exercise as frequently as possible. As to exercise intensity, self-evaluated low-to-moderate intensity exercise might be better for the psychological well-being of the elderly.