-십비오 is the imperative ending for formal speech. So you use it when giving orders/commands.
The 마 in 마십시오 comes from the verb 말다. I think it means something like to disallow someone to do something. Really all you need to know in this case is that it is used in conjunction with the 십시오 ending to negate the proceeding verb.
The proceeding verb (in this case it is 운동하다) must receive 지 at the end in order to negate it (so altogether it is actually 지 마십시오 to negate the verb in formal imperative).
If you learned about 지 않습니다, it is the same concept as that, it's just the way you do it for the 십시오 ending.
If you're wondering how 말 became 마 when conjugated, with the 십시오 ending, if the attached verb ends in ㄹ you must drop the ㄹ.
tldr; 지 마십시오 = do not
You should not excercise too much. must be accepted as well.
And also, 마십시오 (하지 마십시오, 삼가 하십시오, 자주 드십시오.) is a polite way to recommand to do something just like ~하는 게 좋습니다. It does not match with the connontation of English imperative sentense "Do not exercise too much" at all.
The one that perfectly matches with "Do not exercise too much" is "너무 많이 운동하지 마라" (말도록 해라)