Accurate measurement of physical activityassociated energy expenditure (PAEE) helps to quantify exercise intensity and volume, also guides people to exercise scientifically and reasonably. This paper reviews several methods commonly used in PAEE measurement: direct observation, questionnaire, heart rate monitoring, calorimetry, doubly labelled water, and methods using data obtained by motion sensor, such as stride frequency, acceleration and velocity, to estimate PAEE. The pros and cons of various measurement methods are analyzed. It is proposed that research trend should be comprehensively utilize a variety of methods to improve the accuracy of PAEE measurement, while using smart phones and wearables as portable measuring devices for easy application.