The incidence of myopathy increases dramatically in statin users who also exercise, likely limiting the positive impact of this lifesaving medication. New evidence also indicates that statin use can directly compromise aerobic exercise capacity; however, we are just beginning to understand the interactions of statins with exercise training and adaptations. This review focuses on the interactions of statins with aerobic exercise capacity and training adaptations to summarize the available information and draw attention to the gaps in our current knowledge in this area. PubMed, Web of knowledge, and Google scholar databases were searched between January 2000 and December 2013 using the following terms and their combinations: statins, exercise, aerobic capacity, endurance training, adaptations. The reference lists of the relevant articles were also scanned for additional information. Considering the widespread use of statins and the need for exercise for cardiovascular health, a better understanding of the interactions of these interventions as well as practical solutions are needed to reduce statin adverse effects associated with exercise.