The prevalence of asthma remains high worldwide, with increasing awareness of the morbidity and mortality from asthma in low-income countries. In the UK, despite the development of biological treatments, many patients remain suboptimally controlled, and mortality rates have been static for decades. Therefore, new approaches are needed to treat asthma that are scalable at minimal cost. Exercise immunology is an expanding field, and there is growing evidence that exercise can modulate inflammatory and immune processes in asthma. Whilst exercise is encouraged in current treatment guidelines, there are no specific recommendations as to the intensity, frequency or duration of exercise exposure. Despite national and international guidance to increase exercise, patients with asthma are less likely to engage in physical activity. This review explores the disease modifying benefit of exercise in asthma. We also review the domains in which exercise exerts positive clinical effects in asthma, including the effects of exercise on symptom scores, quality of life, psychosocial health, and in the obese asthma phenotype. Finally, we review the barriers to exercise in asthma, given the benefits it confers. A better understanding of the mechanisms through which exercise exerts its positive effects in asthma may provide more accurate prescription of exercise training programmes as part of broader asthma management, with the potential of identification of new drug targets.