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Data Mining, which is known as knowledge discovery in databases has been defined as the nontrivial extraction of implicit, previous unknown and potentially useful information from data. It uses machine learning, statistical and visualization techniques to discover and present knowledge in a form which is easily comprehensible to human. In the paper the authors first introduce the idea, basic concept and process of data mining, then, an example and methods of the application of data mining in physical statistics are analyzed. Data mining is applied in physical training and evaluation, such as constitution data analyzing, PE industry and competitive sports. Thus; we think data mining becomes an important task of the scientific research of sports topic in future.