The purpose of this review is to summarize the more recent research findings regarding the relationship between exercise and smoking behavior. Reviewed studies have been presented according to themes and research design types. Initially cross-sectional and longitudinal epidemiological studies have been reviewed in order to map findings regarding the correlations between those two behaviors. Moreover, studies exploring variables that function as mediators or moderators between smoking and exercise relationship have been included. Then studies examining the possible preventive effects of exercise on smoking behavior for adolescents are reviewed and implications for developing effective preventive intervention programs are provided. Finally, experimental studies examining the acute and long term effects of exercise on smokers are reviewed in order to conclude if exercise can act as a treatment for smokers to manage withdrawal symptoms and help them quit smoking. Overall, exercise seems to have a protective effect against smoking as well as a supportive effect on smoking cessation treatments. The investigation of the underlying mechanisms behind this relationship and the systematic synthesis of new knowledge on this topic can improve our understanding and inform the development of more effective health promotion programs.