Alcohol use disorders (AUDs) lead to early death and many devastating consequences for individuals, families and society. Currently, few effective treatments are available, but emerging research suggests exercise might be beneficial in some individuals. To develop the most effective exercise treatment program, more research on intensity, type, timing, stage of addiction, drug involved, sex of subject and subject population is needed. This review highlights the complexity of the interaction between alcohol behaviors and exercise, with a focus on the role of sex and genetics. Moreover, we describe a variety of rodent models used to investigate the neuronal physiology changes that underlie alcohol consumption and exercise. Specifically, current data indicate that moderate exercise may ameliorate neuronal damage caused by alcohol consumption. Additionally, we describe studies of rodent models in the context of hedonic substitution to draw broad conclusions about shared underlying neurobiological mechanisms. Until recently, most studies in rodents were performed only in males, and few studies have utilized different genetic strains of mice or rats. Comparing similar behavioral paradigms across sex and strain, it has become clear that major sex and genetic differences exist for each behavioral context alone (alcohol consumption and exercise) and combined. Therefore, future research in this area should be developed with careful study design and attention to address both of these factors.