Diabetic retinopathy (DR) is a leading cause of blindness worldwide. However, 90% of DR caused blindness can be prevented if diagnosed and intervened early. Retinal exudates can be observed at the early stage of DR and can be used as signs for early DR diagnosis. Deep convolutional neural networks (DCNNs) have been applied for exudate detection with promising results. However, there exist two main challenges when applying the DCNN based methods for exudate detection. One is the very limited number of labeled data available from medical experts, and another is the severely imbalanced distribution of data of different classes. First, there are many more images of normal eyes than those of eyes with exudates, particularly for screening datasets. Second, the number of normal pixels (non-exudates) is much greater than the number of abnormal pixels (exudates) in images containing exudates. To tackle the small sample set problem, an ensemble convolutional neural network (MU-net) based on a U-net structure is presented in this paper. To alleviate the imbalance data problem, the conditional generative adversarial network (cGAN) is adopted to generate label-preserving minority class data specifically to implement the data augmentation. The network was trained on one dataset (e_ophtha_EX) and tested on the other three public datasets (DiaReTDB1, HEI-MED and MESSIDOR). CGAN, as a data augmentation method, significantly improves network robustness and generalization properties, achieving F1-scores of 92.79%, 92.46%, 91.27%, and 94.34%, respectively, as measured at the lesion level. While without cGAN, the corresponding F1-scores were 92.66%, 91.41%, 90.72%, and 90.58%, respectively. When measured at the image level, with cGAN we achieved the accuracy of 95.45%, 92.13%, 88.76%, and 89.58%, compared with the values achieved without cGAN of 86.36%, 87.64%, 76.33%, and 86.42%, respectively.