A wind resistance mechanism for an exercise apparatus is provided which includes a plurality of bendable blades for changing the form of the wind-facing side thereof or adjusting the wind-facing angle. A movable clamping device includes a hub supported on an output shaft of an exercise apparatus. A first and a second disc are mounted on the hub. At least one of both discs performs a reciprocating movement in axial direction. An external force is applied to the discs for changing the form of the wind-facing side of the blades or adjusting the wind-facing angle, thereby adjusting the wind resistance.