Keep exercising the dog (4)
I believe the answer is:
peke
'the dog' is the definition.
(short for Pekingese)
'keep exercising' is the wordplay.
'exercising' indicates anagramming the letters (letters exercise or move around).
'keep' anagrammed gives 'PEKE'.
(Other definitions for peke that I've seen before include "Little dog" , "Small canine" , "Small breed of dog" , "In short, it's a small short-legged dog" , "Small snub-nosed dog" .)