Chemotherapy-induced peripheral neuropathy (CIPN) is an adverse effect of neurotoxic antineoplastic agents commonly used to treat cancer. Patients with CIPN experience debilitating signs and symptoms, such as combinations of tingling, numbness, pain, and cramping in the hands and feet that inhibit their daily function. Among the limited prevention and treatment options for CIPN, exercise has emerged as a promising new intervention that has been investigated in approximately two dozen clinical trials to date. As additional studies test and suggest the efficacy of exercise in treating CIPN, it is becoming more critical to develop mechanistic understanding of the effects of exercise in order to tailor it to best treat CIPN symptoms and identify who will benefit most. To address the current lack of clarity around the effect of exercise on CIPN, we reviewed the key potential mechanisms (e.g., neurophysiological and psychosocial factors), mediators (e.g., anti-inflammatory cytokines, self-efficacy, and social support), and moderators (e.g., age, sex, body mass index, physical fitness, exercise dose, exercise adherence, and timing of exercise) that may illuminate the relationship between exercise and CIPN improvement. Our review is based on the studies that tested the use of exercise for patients with CIPN, patients with other types of neuropathies, and healthy adults. The discussion presented herein may be used to (1) guide oncologists in predicting which symptoms are best targeted by specific exercise programs, (2) enable clinicians to tailor exercise prescriptions to patients based on specific characteristics, and (3) inform future research and biomarkers on the relationship between exercise and CIPN.