Asthma is a heterogeneous condition, with dyspnoea during exercise affecting individuals to a variable degree. This narrative review explores the mechanisms and measurement of exertional dyspnoea in asthma and summarises the available evidence for the efficacy of various interventions on exertional dyspnoea. Studies on the mechanisms of dyspnoea in asthma have largely utilised direct bronchoprovocation challenges, rather than exercise, which may invoke different physiological mechanisms. Thus, the description of dyspnoea during methacholine challenge can differ from what is experienced during daily activities, including exercise. Dyspnoea perception during exercise is influenced by many interacting variables, such as asthma severity and phenotype, bronchoconstriction, dynamic hyperinflation, respiratory drive and psychological factors. In addition to the intensity of dyspnoea, the qualitative description of dyspnoea may give important clues as to the underlying mechanism and may be an important endpoint for future interventional studies. There is currently little evidence demonstrating whether pharmacological or non-pharmacological interventions specifically improve exertional dyspnoea, which is an important area for future research.