Exercise limitation is a cardinal feature of the interstitial lung diseases and is frequently associated with marked dyspnoea on exertion. People with interstitial lung disease exhibit a rapid, shallow breathing pattern during exercise that worsens as disease progresses. Despite this, ventilatory mechanics are not the major limitation to exercise in most patients, with impaired gas exchange and circulatory limitation playing a more important role. Peripheral and respiratory muscle dysfunction may also contribute to impaired exercise tolerance, either due to systemic manifestations of the underlying disease, treatment side-effects or deconditioning. Measures of exercise capacity or desaturation obtained from maximal and submaximal exercise tests are good predictors of survival in patients with idiopathic pulmonary fibrosis. However, to date few pharmaceutical treatments have affected exercise outcomes despite improvements in other important clinical markers. Supplemental oxygen acutely improves exercise capacity in interstitial lung disease and is recommended for hypoxic patients, although quality of life or survival benefits have not yet been demonstrated. Exercise training improves walking capacity and dyspnoea in short-term trials and is useful to maximize functional capacity. The role of exercise testing in the routine management of patients with interstitial lung disease is not clearly defined. However, given the poor prognosis in patients with idiopathic pulmonary fibrosis and the marked variation in clinical course, assessment of exercise capacity may provide useful information for both clinicians and patients when evaluating the risks and benefits of new treatments. The extent of resting or exercise-induced hypoxia in patients with interstitial lung disease may influence the selection of an appropriate exercise test, and oxygen administration should be standardized on repeat testing.