Exercise-induced analgesia is a phenomenon discussed worldwide. This effect began to be investigated in the early 1970s in healthy individuals and rodents during and after an acute or chronic session of running or swimming. Thereafter, studies found this effect was also induced by resistance exercises. Over the years, many studies have demonstrated the importance of exercise-induced analgesia in relieving pain caused by different conditions, such as fibromyalgia, low back pain, neuropathy, and osteoarthritis. This review aims to provide the reader with an in-depth description of the main endogenous systems, substances, neurotransmitters, receptors and enzymes that are thought to be involved in the analgesic effect induced by exercise. Many hypotheses have been proposed to elucidate the mechanisms responsible for exercise-induced analgesia. One of the most accepted hypotheses has been the activation of several endogenous systems described as analgesics. Studies have demonstrated that during and after exercise different endogenous systems are activated, which release substances or neurotransmitters, such as opioids, nitric oxide, serotonin, catecholamines and endocannabinoids, that may modulate the pain perception.