Recognized as a "disease modifier", physical activity (PA) is increasingly viewed as a more holistic, cost-saving method for prevention, treatment and management of human disease conditions. The traditional view that PA engages the monoaminergic and endorphinergic systems has been challenged by the discovery of the endocannabinoid system (ECS), composed of endogenous lipids, their target receptors, and metabolic enzymes. Indeed, direct and indirect evidence suggests that the ECS might mediate some of the PA-triggered effects throughout the body. Moreover, it is now emerging that PA itself is able to modulate ECS in different ways. Against this background, in the present review we shall discuss evidence of the cross-talk between PA and the ECS, ranging from brain to peripheral districts and highlighting how ECS must be tightly regulated during PA, in order to maintain its beneficial effects on cognition, mood, and nociception, while avoiding impaired energy metabolism, oxidative stress, and inflammatory processes.