Objective: To examine the relationship of exercise with overweight and obesity among an ethnically diverse sample of U.S. children. Method: Data from the 2011-2012 National Survey of Children's Health were analyzed to examine the relationship of daily exercise with children's weight status. Propensity score covariate adjustment and multivariate logistic regression with survey weights were used to control for child, home, and community characteristics. Results: Approximately 22% of all children ages 10 to 17 years engaged in daily exercise for at least 20 minutes. In the adjusted model for the entire sample, daily exercise was associated with children having a lower likelihood of being overweight or obese (odds ratio = 0.79; 95% confidence interval = 0.68-0.91). In a stratified analysis of the major racial and ethnic groups, however, while White children who exercised daily were found to have a lower odds of being overweight or obese (odds ratio = 0.70; 95% confidence interval = 0.60-0.82), this relationship was not found for most minority children. Conclusions: Racial and ethnic minority children were not found to have the same weight status relationship with exercising daily. These findings suggest that some population-average exercise recommendations may not be as applicable to minority children.