This paper empirically discusses the impact of exchange rate fluctuations on enterprises’ export decisions by using the annual data of the database of China’s industrial enterprises and the database of China’s customs merged according to the hs6-digit code from 2000 to 2007. The study found that: 1) the appreciation of RMB real effective exchange rate will significantly increase the probability of enterprises exiting export markets and reduce the probability of enterprises entering export markets; 2) compared with state-owned enterprises and private enterprises, foreign-owned enterprises have stronger ability to fight against exchange rate risks, and enterprises in eastern China are more sensitive to exchange rate fluctuation; 3) based on the analysis of heterogeneity of enterprise characteristics, it is found that such factors as enterprise productivity, enterprise profit margin, enterprise size and enterprise export experience can reduce the positive impact of RMB real effective exchange rate appreciation on enterprises exiting from export markets. This paper provides some useful advice for enterprises to avoid exchange rate risks and make better export decisions.