The case for the benefits of physical activity has been well documented in healthy individuals, and the potential for reducing the risk of mental and physical ill health is substantial. Yet, individuals with multiple sclerosis (MS) have long been advised to avoid participation in exercise in order to minimise the risk of exacerbations and symptoms of fatigue. There is, however, increasing interest in how acute and chronic exercise affect physiological and psychological functioning in MS. Much of the research has examined physiological tolerance to exercise and focused on responses in terms of heart rate, blood pressure, cardiorespiratory fitness, muscle function, and symptom stability. Little research has focused on understanding how exercise affects psychosocial functioning and brings about changes in depression, affect, mood, well-being, and quality of life. This paper provides a summary of the research exploring the efficacy of physical activity for people with MS. In addition, the key issues that face clinical practice are examined, and considerations for research are discussed.