People in hot and humid areas prefer exercising in sheltered spaces, such as pilotis, to avoid direct solar radiation. However, as a piloti space for exercise (PSE) is susceptible to the outdoor environment, it is unclear whether the thermal environment in the PSE satisfies the thermal needs of exercisers exhibiting high metabolic rates. This study investigated the relationship between the thermal environment of PSEs and the thermal response of exercisers. A field survey was conducted in the PSE of a gymnasium in Guangzhou, China, during the summer of 2019. The subjective responses of 28 subjects were collected through questionnaires under various activities, including 3.6 MET shoot (Ex 1), sitting (Post-Ex 1), 5.2 MET layup (Ex 2), sitting (Post-Ex 2), 6.8 MET full-court dribbling shuttle run (Ex 3), and sitting (Post-Ex 3). The environmental and physiological data were recorded using instruments. We documented the fluctuations of mean skin temperature, thermal sensation, thermal acceptability, and sweat feeling index of subjects during the aforementioned activities. The recovery times of thermal acceptability returning to the acceptable state were within 5, 4–22, and 10–39 min during Post-Ex 1, 2, and 3, respectively. The upper limits of the 80% acceptable operative temperatures during Ex 1, 2, and 3 were 32.6, 31.2, and 29.0 °C, respectively. This study contributes to a better understanding of the dynamic changes of exercisers’ thermal responses in the naturally ventilated environment and provides a reference for the evaluation and design of PSEs in hot and humid areas. •Thermal response of exercisers was explored in piloti space for exercise.•Shooting, layup and shuttle run (Ex 1–3) were 3.6, 5.2, and 6.8 MET, respectively.•Upper limits of acceptable temperature under Ex 1–3 were 32.6, 31.2 and 29 °C.•The relationship between acceptable temperature and exercise duration was built.•Recovery times of thermal acceptability under Ex 1–3 were <5, 4–22 and 10–39 min.