Pain is a complex and highly subjective phenomenon that can be modulated by several factors. Based on results from experimental and clinical studies, the existence of endogenous pain modulatory mechanisms that can increase or diminish the experience of pain is now accepted. In this narrative review, the pain modulatory effects of exercise, stress, and cognitions in humans are assessed. Experimental studies on the effect of exercise have revealed that pain-free subjects show a hypoalgesic response after exercise. However, in some patients with chronic pain this response is reduced or even hyperalgesic in nature. These findings will be discussed from a mechanistic point of view. Stress is another modulator of the pain experience. Although acute stress may induce hypoalgesia, ongoing clinical stress has detrimental effects on pain in many patients with chronic pain conditions, which have implications for the understanding, assessment and treatment of stress in patients with pain. Finally, cognitive strategies play differing roles in pain inhibition. Two intuitive strategies, thought suppression and focused distraction, will be reviewed regarding experimental, acute, and chronic pain. Based on current knowledge on the role of exercise, stress, and cognitive pain control strategies on modulation of pain, implications for treatment will be discussed.