A chain wheel locking device of an exercise apparatus includes a wheel frame mounted on a main frame of the exercise apparatus, wherein the wheel frame is a U-shaped structure and has two supports corresponding to each other. The exercise apparatus includes a chain wheel axle rotatably extending through a chain wheel and the two supports. The chain wheel axle has two opposite ends each having a locking device mounted thereon for positioning the chain wheel axle and preventing the chain wheel axle from being moved relative to the wheel frame such that a tension of a chain on the chain wheel is maintained to prevent the chain from being detached from the chain wheel.