Chronic pain is a global health problem with major socioeconomic implications. Drug therapy for chronic pain is limited, prompting search for non-pharmacological treatments. One such approach is physical exercise, which has been found to be beneficial for numerous health issues. Research in recent years has yielded considerable evidence for the analgesic actions of exercise in humans and experimental animals, but the underlying mechanisms are far from clear. It was proposed that exercise influences the pain pathways by interacting with the immune system, mainly by reducing inflammatory responses, but the release of endogenous analgesic mediators is another possibility. Exercise acts on neurons and glial cells in both the central and peripheral nervous systems. This review focuses on the periphery, with emphasis on possible glia-neuron interactions. Key topics include interactions of Schwann cells with axons (myelinated and unmyelinated), satellite glial cells in sensory ganglia, enteric glial cells, and the sympathetic nervous system. An attempt is made to highlight several neurological diseases that are associated with pain and the roles that glial cells may play in exercise-induced pain alleviation. Among the diseases are fibromyalgia and Charcot-Marie-Tooth disease. The hypothesis that active skeletal muscles exert their effects on the nervous system by releasing myokines is discussed.