Both active exercise and passive exercise are effective in reliving various acute and chronic pain. The analgesic effect induced by active exercise is more effective than that induced by passive exercise. Based on the discussion of the underlying mechanisms of exercise-induced analgesia, this review highlights the possible reasons that explain the differences between the two types of exercises in terms of their effectiveness. Specifically, by comparing the motor descending pathway and the somatosensory/proprioception ascending pathway between active exercise and passive exercise, the possible physiological (i.e., the peripheral nerve system and the central nerve system) and psychological (i.e., cognition and emotion) mechanisms involved in pain modulation between the two are fully discussed. Owing to a lack of the motor descending pathway and the limited muscle activation during the movement execution, passive exercise triggers less release of analgesic substances and a weaker pain modulation at cortical level, when compared with active exercise. In addition, passive exercise can barely evoke positive emotion or distract the attention away from pain. The lack of sense of agency and having less sense of ownership along with passive exercise further negatively affect the analgesic effect. Drawing upon the evidence, we point out the limitations of current studies in this field and suggest future research directions for a better understanding of exercise-induced analgesia.