An exercise bar for use when exercising, such as while walking, running, jogging, stretching, or the like. The exercise bar device includes a U-shaped frame having a pair of handles extending from opposing sides thereof. The user can position his or her body in the opening defined by the U-shaped frame while holding the frame in various positions with the handles located on side of the user. Each handle is further configured to removably receive a weighted plate thereon for providing additional resistance. In some embodiments, the exercise bar includes an audio unit adapted to allow the user to play music or other audio while exercising. The U-shaped frame further includes a storage compartment, one or more lights, a panic alarm, and a pedometer, depending upon the embodiment.