The mechanistic interactions among redox status of leukocytes, muscle, and exercise in pain regulation are still poorly understood and limits targeted treatment. Exercise benefits are numerous, including the treatment of chronic pain. However, unaccustomed exercise may be reported as undesirable as it may contribute to pain. The aim of the present review is to evaluate the relationship between oxidative metabolism and acute exercise-induced pain, and as to whether improved antioxidant capacity underpins the analgesic effects of regular exercise. Preclinical and clinical studies addressing relevant topics on mechanisms by which exercise modulates nociceptive activity and how redox status can outline pain and analgesia are discussed, in sense of translating into refined outcomes. Emerging evidence points to the role of oxidative stress-induced signaling in sensitizing nociceptor sensory neurons. In response to acute exercise, there is an increase in oxidative metabolism, and consequently, pain. Instead, regular exercise can modulate redox status in favor of antioxidant capacity and repair mechanisms, which have consequently increased resistance to oxidative stress, damage, and pain. Data indicate that acute sessions of unaccustomed prolonged and/or intense exercise increase oxidative metabolism and regulates exercise-induced pain in the post-exercise recovery period. Further, evidence demonstrates regular exercise improves antioxidant status, indicating its therapeutic utility for chronic pain disorders. An improved comprehension of the role of redox status in exercise can provide helpful insights into immune-muscle communication during pain modulatory effects of exercise and support new therapeutic efforts and rationale for the promotion of exercise.