Exercise is a highly proven and beneficial health promotion modality. But it is very difficult to determine whether the person during exercise is safe. A unique and comprehensive approach is proposed to perform physical exercise risk evaluation (PERE), in which personalized factors are determined basing on grey correlation analysis, analytic hierarchy process (AHP) method is used to structure the large numbers of risk factors, and fuzzy comprehensive evaluation (FCE) is applied to fuzzify the factors and compute the exercise risk level. Finally, an actual calculation example is used to verify the feasibility of the method.