It is well-established that a single bout of exercise can reduce pain sensitivity (i.e., exercise-induced hypoalgesia) in healthy individuals. However, exercise-induced hypoalgesia is often impaired in individuals with chronic pain. This might suggest that repeated bouts of exercise (i.e., exercise training) are needed in order to induce a reduction in pain sensitivity (i.e., training-induced hypoalgesia) among individuals with chronic pain, given that a single bout of exercise seems to be insufficient to alter pain. However, the effect of repeated bouts of exercise on pain sensitivity and its underlying mechanisms remain poorly understood. Therefore, the purpose of this review was to provide an overview of the existing literature on training-induced hypoalgesia, as well as discuss potential mechanisms of training-induced hypoalgesia and offer considerations for future research. Existing literature suggests that training interventions may induce hypoalgesic adaptations potentially driven by central nervous system and immune system factors. However, the limited number of randomized controlled trials available, along with the lack of understanding of underlying mechanisms, provides a rationale for future research.