Exercise with adequate intensity and duration or specialized exercise therapy have been widely proven to be effective in enhancing pain thresholds or increasing pain tolerance in healthy subjects or chronic pain patients. Exercise induced hypoalgesia (EIH) may involve various central structures in the endogenous pain modulation; motor stimulation with different types can activate either spinal cord induced local inhibition or supraspinal structures induced descending pain inhibition influencing the nociception at the spinal cord level. At the spinal level, continued exercise can down-regulate the expression of IL-1β, IL-6 and TNF-α, while the transient hypoalgesia effect of voluntary movement could be elicited by gate control of the dorsal horn; at supraspinal and subcortical levels, endogenous opioids, cannabinoids, and 5-HT-related descending inhibition of PAG and RVM can be modulated by exercise with different intensity, while the nociceptive discrimination of the thalamus and cognitive processing of the basal amygdala might also be affected by the somatosensory input of exercise, respectively; at cortical level, M1 can be activated by voluntary movement, rTMS or tDCS showed a significant antinociceptive effect in patients with chronic pain, while the DLPFC, MOPFC and insula associated with exercise have also been proven to participate in the EIH effect. In pathological pain state, the EIH is affected with the limited activity of motor cortex and the impaired function of descending pain inhibition, while the active treatment with exercise at non-affected body parts can still partially reverse the pain sensitization and induce the EIH effect. The investigation of EIH effect at spinal, subcortical and cortical levels will assist one to better understand EIH mechanisms, and help to provide the prevention of chronic pain via non-pharmacological exercise therapy.