If you yawn when you exercise, do not fear! It is a normal response to exercise. One reason you might be yawning while exercising could be because your body is working hard and needs more oxygen to sustain it. When this happens, you will take deeper breaths that may cause a yawning sensation. Another reason for excessive yawning could be because you are feeling tired or sleepy. As we have mentioned before, a yawn may help you get the rest you need or get your energy up.