Atherosclerosis is the preliminary cause of coronary artery disease, one of the diseases that account for the largest number of fatal mortalities. Physical activity is an effective strategy to restrain atherosclerosis from deterioration. Evidence indicated that changes in the proteomic profile are highly associated with atherosclerosis development, but the mechanism behind exercise for atherosclerosis amelioration has not yet been investigated from a proteomics perspective. Hence, the proteomic profiles could further elucidate the systematic effects of exercise intervention on ApoE knockout atherosclerotic model and high-fat-diet intervention. In the current study, Apoeem1Narl/Narl mice were randomly allocated into a normal diet (ND), Western diet (WD), and WD with 12-week exercise intervention (WD EX) groups. The plasma proteome between WD and WD EX groups demonstrate the significant difference, and ten major pathways, including cardiovascular disease (CVD)–hematological disease, inflammatory disease, infectious diseases, inflammatory response, cell-to-cell signaling and interaction, connective tissue disorders_inflammatory disease, metabolic disease_organismal injury and abnormalities, cell-to-cell signaling and interaction, connective tissue disorders_inflammatory disease, and endocrine system disorders_gastrointestinal disease, etc., were generated by the IPA analysis. The 15 proteins (MYOCD, PROS1, C2, SERPINA10, CRP, F5, C5, CFB, FGG, CFH, F12, PRDX2, PROZ, PPIA, and HABP2) critically involved in CVD–hematological disease pathway showed significant difference between WD and WD EX groups. In current study, exercise could significantly alleviate the significantly elevated C5 and inflammation induced by the WD group in accordance with amelioration of atherosclerosis. Therefore, exercise could mitigate chemotaxis through the modulation of the C5 level and innate immunity, thereby alleviating the pathogenesis of atherosclerosis in Western-diet-induced obese mice.