This is from Categories & Sheaves by Kashiwara & Schapira.
$$\text{Hom}_{\text{Set}}(X, \lim_{\leftarrow} \beta) \xrightarrow{\sim} \lim_{\leftarrow} \text{Hom}_{\text{Set}}(X, \beta) \tag{2.1.1}$$
Here's the exercise:
Let $\varphi : J \to I$ and $\beta : I^{op} \to \text{Set}$ be functors. Denote by $\varphi^{op} : J^{op} \to I^{op}$ the associated functor. Using (2.1.1), we get a natural morphism:
$$ \lim_{\longleftarrow} \beta \to \lim_{\longleftarrow}\beta \circ\varphi^{op} $$
Firstly, I don't see how the left or right is a functor so how can we speak of the natural map?
Secondly, how do you make the map? If we have a natural map $a \in \lim\limits_{\longleftarrow} \beta$ such that $\beta(f) \circ a_i = a_j$ for any $f : j \to i$ in $I$, I'm not seeing how this should work.
Let's dispense with all the duals and the values taken in a particular category, which are obscuring the situation a bit. If $D:J\to C$, $u:I\to J$ are functors such that $C$ admits limits of shapes $I$ and $J$, the claim is that we have a natural map $\mathrm{lim} D\to \mathrm{lim}(D\circ u)$. For any $i\in I$, we must give a map $\mathrm{lim} D\to D(u(i))$.
Now, along with $\mathrm{lim} D$ we are given a cone $\lambda$ with components $\lambda_j:\mathrm{lim} D\to D(j)$. So the natural guess for the desired map is $\lambda_{u(i)}$. To prove that these components determine a map into $\mathrm{lim}(D\circ u)$ as desired, we have only to check that $(D\circ u)(f)\circ \lambda_{u(i)}=\lambda_{u(i')}$ for every $f:i\to i'$ in $I$. But this is simply an instantiation of the assumption that $\lambda$ forms a cone.