Multiple sclerosis (MS) is a central nervous system (CNS) disorder characterized by inflammation, demyelination, and neurodegeneration. Emerging research suggests that exercise has therapeutic benefits for MS patients but the clinical data have focused primarily on non‐CNS outcomes. In this review, we discuss evidence in preclinical MS models that exercise influences oligodendrocyte proliferation and repopulation, remyelination, neuroinflammation, neuroprotection, axonal regeneration, and astrogliosis. Evidence for the therapeutic effects of exercise in MS is further supplemented by data from other CNS diseases, including Alzheimer's disease, Parkinson's disease, and spinal cord injury. These results motivate studies into the benefits that exercise confers within the CNS in MS.