Many non-pharmacological treatments have been implicated in the treatment of primary headache, with exercise being a common recommendation. In this review we first provide an overview of the relationship between exercise and primary headaches. We then review the physiology of pain modulation, with focus on the endogenous opioids, endocannabinoids, and neuropeptides calcitonin gene-related peptide (CGRP) and brain-derived neurotrophic factor (BDNF), and their associations with primary headache and exercise. Finally, we summarize current literature evaluating effects of exercise on primary headache in an effort to understand the benefits and disadvantages of exercise in primary headaches.