This paper provides a narrative review of the effects of physical exercise in treating chronic musculoskeletal pain (MSK pain). Physical inactivity and sedentary behavior are associated with chronic MSK pain and can exacerbate it. Physical exercise is an effective, inexpensive, and safe therapeutic option for managing chronic MSK pain, as it does not produce the adverse effects of pharmacological treatments or invasive techniques. In addition to its analgesic effects, physical exercise also improves sleep quality, daily activities, quality of life, physical function, and emotional well-being. Maintaining a minimum level of physical activity is beneficial even during acute pain periods. Multicomponent exercise programs, combining aerobic, strengthening, flexibility, and balance exercises, are often more effective and better adapted to clinical conditions. For chronic pain, programs performed at light-to-moderate intensity and with a frequency of two to three times per week for at least 4 weeks are typically most beneficial. Exercise programs should be tailored to individual patient needs based on clinical guidelines and World Health Organization recommendations. Adherence to physical exercise is a significant challenge, and empowering patients and facilitating lifestyle changes are crucial. There is strong evidence of the analgesic effects of physical exercise in various pathologies, including osteoarthritis, chronic low back pain, rheumatoid arthritis, and fibromyalgia. However, the physical exercise protocols used as interventions are often not well defined or highly heterogeneous, and more studies with adequate methodology are needed to assess the role of physical exercise in treating chronic pain.This paper provides a narrative review of the effects of physical exercise in treating chronic musculoskeletal pain (MSK pain). Physical inactivity and sedentary behavior are associated with chronic MSK pain and can exacerbate it. Physical exercise is an effective, inexpensive, and safe therapeutic option for managing chronic MSK pain, as it does not produce the adverse effects of pharmacological treatments or invasive techniques. In addition to its analgesic effects, physical exercise also improves sleep quality, daily activities, quality of life, physical function, and emotional well-being. Maintaining a minimum level of physical activity is beneficial even during acute pain periods. Multicomponent exercise programs, combining aerobic, strengthening, flexibility, and balance exercises, are often more effective and better adapted to clinical conditions. For chronic pain, programs performed at light-to-moderate intensity and with a frequency of two to three times per week for at least 4 weeks are typically most beneficial. Exercise programs should be tailored to individual patient needs based on clinical guidelines and World Health Organization recommendations. Adherence to physical exercise is a significant challenge, and empowering patients and facilitating lifestyle changes are crucial. There is strong evidence of the analgesic effects of physical exercise in various pathologies, including osteoarthritis, chronic low back pain, rheumatoid arthritis, and fibromyalgia. However, the physical exercise protocols used as interventions are often not well defined or highly heterogeneous, and more studies with adequate methodology are needed to assess the role of physical exercise in treating chronic pain.