Considerable research interest has been given in the past 25 years to examining the role of physical activity in breast cancer prevention given the scarcity of modifiable risk factors for this major cause of cancer incidence and mortality in women. A review of the observational epidemiologic evidence and recent randomized exercise intervention trials on the association between physical activity and breast cancer risk is presented. As of March 2010, 73 separate studies out of 91 publications worldwide were identified as having sufficient data for this review. Across these 73 studies, the average reduction in breast cancer risk, when comparing the most to the least physically active women, was 25%. There also was evidence for a dose-response effect found in the majority of studies that examined this trend. The strongest associations were found for recreational and household activities and for activity that was of at least moderate intensity and sustained over a lifetime. Within population subgroups, a stronger effect was seen in women who are normal weight, in women without a family history of breast cancer, and in women who are parous. Women of all races benefitted from physical activity; however, a particularly strong effect on breast cancer risk was observed in non-Caucasian women. Future research should focus on elucidating the exact type, dose, and timing of physical activity required to reduce breast cancer risk. Prospective observational epidemiologic studies of lifetime physical activity patterns and breast cancer risk would help in this regard, as well as randomized controlled exercise intervention trials employing hypothesized biomarkers of breast cancer risk as outcome measures. Additional consideration to the role of sedentary behavior and light-intensity activity also is needed, as well as improved physical activity assessment methods. These additional data will be useful in improving public health recommendations regarding physical activity for breast cancer risk reduction.