I think Apple recommends that you calibrate the watch and it will record exercise minutes more accurately over time. Also don't forget to enter your vitals data correctly, such as your weight, age etc. (no lying!)
Initially when I first wore the watch, just casually strolling around the mall will record exercise minutes, but as time went on, I'd really have to put in some effort in order to get credit for exercise - for example, I would have to walk at a brisk pace, not just walk casually.
The way to calibrate the watch is, (I forgot where is the Apple link to the document), you must start an outdoor activity using the Workout app, best is either outdoor walk or outdoor run. Walk/run for at least 15 minutes, and if you have location/GPS enabled that will be the best. The watch will measure your heart rate, pace, count your steps, use the acceleratometer etc., to determine and calibrate what is considered "exercise" for you. As you do more workout over time, the measurements will become more accurate. During the initial calibration period, indoor exercise will not be as precise because the watch won't have GPS data to calculate your pace for example.