Physical activity has become a first-line treatment in rehabilitation settings for individuals with chronic pain. However, research has only recently begun to elucidate the mechanisms of exercise-induced analgesia. Through the study of animal models, exercise has been shown to induce changes in the brain, spinal cord, immune system, and at the site of injury to prevent and reduce pain. Animal models have also explored beneficial effects of exercise through different modes of exercise including running, swimming, and resistance training. This review will discuss the central and peripheral mechanisms of exercise-induced analgesia through different modes, intensity, and duration of exercise as well as clinical applications of exercise with suggestions for future research directions.