Prostate cancer is a leading cause of cancer morbidity and mortality in men. In addition to improved treatments, strategies to reduce disease risk are urgently required. This review summarises the literature that examines the association between exercise and prostate cancer risk. Between 1989 and 2001, 13 cohort studies were conducted in the US and internationally. Of these, nine showed an association between exercise and decreased prostate cancer risk. Five of 11 case-control studies conducted between 1988 and 2002 reported an association between decreased risk of prostate cancer and high activity levels. Considering all studies performed between 1976 and 2002, 16 out of 27 studies reported reduced risk in men who were most active; in nine out of 16 studies the reduction in risk was statistically significant. Average risk reduction ranged from 10–30%. In aggregate, this evidence suggests a probable link between increased physical exercise and decreased prostate cancer risk. The ability of exercise to modulate hormone levels, prevent obesity, enhance immune function and reduce oxidative stress have all been postulated as mechanisms that may underlie the protective effect of exercise. Exercise may also be of benefit in men undergoing treatment for prostate cancer. Overall, study design and control of potential confounding factors varied greatly among studies, possibly contributing to the variation in results. Epidemiological studies that are better controlled, larger in scale and more carefully designed may help to more fully clarify the relationship between exercise and prostate cancer. In addition, intervention trials that test whether exercise programmes can reduce prostate cancer risk are currently underway to rigorously test the ability of exercise to reduce prostate cancer incidence.