The heat shock proteins are a family of highly conserved proteins with critical roles in maintaining cellular homeostasis and in protecting the cell from stressful conditions. While the critical intracellular roles of heat shock proteins are undisputed, evidence suggests that the cell possess the necessary machinery to actively secrete specific heat shock proteins in response to cellular stress. In this review, we firstly discuss the evidence that physical exercise induces the release of heat shock protein 72 from specific tissues in humans. Importantly, it appears as though this release is the result of an active secretory process, as opposed to non-specific processes such as cell lysis. Next we discuss recent in vitro evidence that has identified a mechanistic basis for the observation that cellular stress induces the release of a specific subset of heat shock proteins. Importantly, while the classical protein secretory pathway does not seem to be involved in the stress-induced release of HSP72, we discuss the evidence that lipid-rafts and exosomes are important mediators of the stress-induced release of HSP72.