The shock wave has been widely recognized in literature as a biological regulator; therefore we carried out a review on the activity performed by shock waves on the bone-myofascial tissue system. To date, the application of Shock Wave Therapy (SWT) in musculoskeletal disorders has been primarily used in the treatment of tendinopathies (proximal plantar fasciopathy, lateral elbow tendinopathy, calcific tendinopathy of the shoulder, and patellar tendinopathy, etc.) and bone defects (delayed- and non-union of bone fractures, avascular necrosis of femoral head, etc.). Although the mechanism of their therapeutic effects is still unknown, the majority of published papers have shown positive and beneficial effects of using SWT as a treatment for musculoskeletal disorders, with a success rate ranging from 65 to 91%, while the complications are low or negligible. The purpose of this paper is to inform the reader about the published data on the clinical application of SWT in the treatment of musculoskeletal disorders. In this paper, with the help of a literature review, indications and success rates for SWT in the treatment of musculoskeletal disorders are outlined, while adequate SWT parameters (e.g., rate of impulses, energy flux density, etc.) are defined according to the present state of knowledge. Given the abundance of the argument, it seems appropriate to subdivide the review into two parts, the first concerning the evidence of Extracorporeal Shock Wave Therapy (ESWT) on bone disorders, the second concerning findings on tendon and muscle treatment.