In recent years, the interest in oxygen-ozone (OO) therapy application has considerably increased in the field of rehabilitation. Despite its widespread use in common clinical practice, the biochemical effects of OO are still far from being understood, although its chemical properties seem to play a pivotal role in exerting its positive effects on different pathological conditions. Indeed, the effectiveness of OO therapy might be partly due to the moderate oxidative stress produced by O interactions with biological components. OO therapy is widely used as an adjuvant therapeutic option in several pathological conditions characterized by chronic inflammatory processes and immune over-activation, and most musculoskeletal disorders share these pathophysiological processes. The present comprehensive review depicts the state-of-the-art on the mechanisms of action, safety and effectiveness of OO therapy in the complex scenario of the management of musculoskeletal disorders. Taken together, our findings suggest that OO therapy seems to reduce pain and improve functioning in patients affected by low back pain and knee osteoarthritis, as reported by several studies in the literature. However, to date, further studies are warranted to clearly investigate the therapeutic effects of this promising therapy on other musculoskeletal disorders in the field of rehabilitation.