Sense of coherence has significant implications for the mental health of left-behind children in rural China. This study was conducted to explore the impact of physical exercise and social support on sense of coherence in rural left-behind children. A survey was conducted among 964 rural left-behind children in Hunan Province of China aged 10–15 (Mage = 12.01 ± 1.97 years; 529 girls and 435 boys). AMOS 21.0 software was applied to build the model and perform cross-lagged analysis. Physical exercise and social support in left-behind children predict each other, and physical exercise can positively predict social support and sense of coherence in left-behind children two months later (P < 0.05); social support can significantly positively predict sense of coherence in left-behind children two months later (P < 0.05). Both physical exercise and social support have an impact on sense of coherence in left-behind children, and physical exercise can affect sense of coherence in left-behind children through the mediating effect of social support.