A collapsible guard adapted to cover the rear wheel of a stationery exercise bicycle supported on a bicycle trainer is described. The guard has side walls, an upper wall and a front opening sized to receive the bicycle rear wheel and trainer. In one embodiment of the invention, the guard includes spaced side walls having upper edges, front edges and lower edges; and a flexible upper wall with side edges, a front edge, and a rear edge, the side walls being releasibly attached along at least part of their lengths to the upper wall side edges, the upper wall curving downwardly from its front edge to its rear edge when the side walls are attached. In this embodiment, the side walls are foldable onto opposite faces of the upper wall. In another embodiment, the guard includes a collapsible frame with curved bands and a cover attachable over the frame.