The health effects of atmospheric particulate matter (PM) have become a major environmental concern in urban areas. Most PM studies are mainly designed to measure the “ambient” or “emitted” concentrations of PM. Some studies are specifically designed to address exposure to PM for pedestrians and/or commuters on-board vehicles or at bus stops, but less attention is paid to the exposure during physical exercise such as jogging. To this end, concentrations of both fine particulate matter (PM2.5) and black carbon (BC) were measured along three jogging trails in the densely populated city Macau in China. The three jogging trails include the campus of University of Macau (UM), Guia Municipal Park (GP), and Saivan Lake (SL). In our measurements, PM2.5 and BC ranged from 2.9 to 84.1 and 0.4–19.5 μg/m³ respectively. BC/PM2.5 ratio ranged from 0.016 to 0.448. Among all three jogging trails, the highest BC concentration was found at SL (19.5 μg/m³), and the highest PM2.5 concentration was found at UM (84.1 μg/m³). On the contrary, the BC and PM2.5 concentrations at the elevated (about 50 m above sea level) GP trail were lower than those at the other two jogging trails. BC and PM2.5 concentrations were generally lower in the night loops (21:30–23:00) than those in the morning loops (07:30–09:00), which coincide with morning rush hours, with only a few exceptions. The difference in geographical locations also affects the BC and PM2.5 concentrations measured, with locations near bus terminals, busy roads, or with congested street canyons having higher concentrations. Doses of BC and PM2.5 after 60 min of exposure during typical jogging exercise are also estimated to evaluate the exposure to PM pollution at these three jogging trails when exercising. The results from the current studies provide information both on personal choice for the time/venue for jogging exercise and on future abatement policy to mitigate such risks of exposure to BC and PM2.5.