The family of U-statistics plays a fundamental role in statistics. This paper proves a novel exponential inequality for U-statistics under the time series setting. Explicit mixing conditions are given for guaranteeing fast convergence, the bound proves to be analogous to the one under independence, and extension to non-stationary time series is straightforward. The proof relies on a novel decomposition of U-statistics via exploiting the temporal correlatedness structure. Such results are of interest in many fields where high dimensional time series data are present. In particular, applications to high dimensional time series inference are discussed.