For many years, patients with multiple sclerosis (MS) were advised to avoid exercise because of the risk of increased neurological impairment. This article reviews the literature related to MS and physical exercise. Physical exercise depends on patients' physiological tolerance and response to exercise. MS patients can exhibit dysfunction of cardiovascular adjustment accompanied by respiratory involvement, which can alter aerobic capacity. These abnormalities tend to increase with the neurological impairment. Muscle weakness is the consequence of not only altered central motor drive but also disuse. Several studies have shown the benefits of physical training, with improvements in aerobic capacity, gait parameters and fatigue, and an influence on quality of life. Regular aerobic physical activity is necessary to maintain the benefit of physical training.