Pet exercise wheel comprising an axle (1) and a running wheel (2) having a through bore (3) for mounting the wheel on said axle, wherein the axle is mounted or mountable on a connecting piece (4) which is arranged for placement on a supporting frame, wherein the axle has a diameter which is larger at its extremities (1',1'') than in a middle portion of the axle between said extremities, and wherein said diameter at the extremities of the axle is selected at a value to provide a snug fit in the through bore of the wheel.