3-Hydroxy-3-methylglutaryl coenzyme A reductase inhibitors (statins) are a common and effective treatment for hypercholesterolemia, with a low overall rate of side-effects. The most common complication is some degree of skeletal muscle myopathy, ranging from painless serum creatine kinase elevations to rhabdomyolysis. Unfortunately, the likelihood and/or severity of complications increases with the combination of statin treatment and physical activity. The specific pathways that mediate statin-associated myopathy are unclear, and research directly addressing the exacerbation with exercise is limited. Potential mechanisms include the induction of skeletal muscle fiber apoptosis, alterations in ubiquitin-proteasome pathway activity, mitochondrial dysfunction, and terpenoid depletion. In this review we provide an overview of research that specifically addresses the combination of statin-associated myopathy and physical activity and highlight some deficiencies in the available literature, as well as future directions for this important subset of statin-associated myopathy.