In the treatment of multiple sclerosis (MS), exercise training is now considered a cornerstone. However, most clinicians tend to focus on neurologic deficits only, and thus prefer to prescribe rehabilitation programs specifically to counteract these deficits. However, the present comprehensive review shows that patients with MS (pwMS) also experience significant muscular, cardiac, ventilatory and metabolic dysfunction, which significantly contribute, next to neurologic deficits, to exercise intolerance. In addition, these anomalies also might increase the risk for frequent hospitalization and morbidity and can reduce life expectancy. Unfortunately, the impact of exercise intervention on these anomalies in pwMS are mostly unknown. Therefore, it is suggested that pwMS should be screened systematically for muscular, cardiac, ventilatory and metabolic function during exercise testing. The detection of such anomalies should lead to adaptations and optimisation of exercise training prescription and clinical care/medical treatment of pwMS. In addition, future studies should focus on the impact of exercise intervention on muscular, cardiac, ventilatory and metabolic (dys)function in pwMS, to contribute to improved treatment and care.