Objective. To investigate the effect and mechanism of the exenatide on diabetic cardiomyopathy. Methods. Rats were divided into control group, diabetes group (D), diabetes treated with insulin (DI) group, and diabetes treat with exenatide (DE) group. We detected apoptosis rate by TUNEL, the adiponectin and high molecular weight adiponectin (HMW-adiponectin) by ELISA, and the expression of APPL1, p-AMPK/T-AMPK, PPARα, and NF-κB by immunohistochemistry and western blotting. Results. Compared with the D group, the apoptosis in the Control and DE groups was decreased (P < 0.05); the adiponectin and HMW-adiponectin were increased (P < 0.05); the APPL1, p-AMPK/T-AMPK, PPARα, and LV −dP/dt were increased (P < 0.05); and the NF-κB, GRP78, and LVEDP were decreased (P < 0.05). Compared with DE group, the glucose levels in the DI group were similar (P < 0.05); the apoptosis and LVEDP were increased; the APPL1, p-AMPK/T-AMPK, PPARα, and LV −dP/dt were decreased (P < 0.05); the NF-κB and GRP78 were increased (P < 0.05); the adiponectin and HMW-adiponectin were significantly decreased (P < 0.05). Conclusion. Our model of diabetic cardiomyopathy was constructed successfully. After being treated with exenatide, the adiponectin and HMW-adiponectin and the APPL1-AMPK-PPARα axis were increased, the NF-κB and the apoptosis were decreased, the cardiac function of the diabetic rats was improved, and these effects were independent of glucose control.