Multiple sclerosis (MS) is a neuroinflammatory and neurodegenerative disease affecting young adults and leading to considerable disability. For many years, patients have been advised to avoid physical activity. Today, however, an increasing number of studies have shown beneficial effects of exercise training in MS. It has been reported that such programs not only improve fitness parameters but can also enhance quality of life and beneficially affect some suggestive disability measures. Pilot studies even indicate a neuroprotective potential. This review summarizes the findings of the major clinical trials on exercise in MS. Possible biological effect mediators, such as neurotrophic factors or anti-inflammatory cytokines, will be discussed. Exercise management guidelines will be proposed and possible further research strategies are presented.