There is an unmet need of pharmacological and non-pharmacological treatment options for migraine patients. Exercise can be used in the treatment of several pain conditions, including. However, what exact role exercise plays in migraine prevention is unclear. Here, we review the associations between physical exercise and migraine from an epidemiological, therapeutical and pathophysiological perspective. The review was based on a primary literature search on the PubMed using the search terms “migraine and exercise”. Low levels of physical exercise and high frequency of migraine has been reported in several large population-based studies. In experimental studies exercise has been reported as a trigger factor for migraine as well as migraine prophylaxis. Possible mechanisms for how exercise may trigger migraine attacks, include acute release of neuropeptides such as calcitonin gene-related peptide or alternation of hypocretin or lactate metabolism. Mechanisms for migraine prevention by exercise may include increased beta-endorphin, endocannabinoid and brain-derived neurotrophic factor levers in plasma after exercise. In conclusion, it seems that although exercise can trigger migraine attacks, regular exercise may have prophylactic effect on migraine frequency. This is most likely due to an altered migraine triggering threshold in persons who exercise regularly. However, the frequency and intensity of exercise that is required is still an open question, which should be addressed in future studies to delineate an evidence-based exercise program to prevent migraine in sufferers.