Physical exercise (PE) impacts various autoimmune diseases. Accordingly, clinical trials demonstrated the safety of PE in multiple sclerosis (MS) patients and indicated beneficial outcomes. There is also an increasing body of research on the beneficial effects of exercise on experimental autoimmune encephalomyelitis (EAE), the animal model of MS, and various mechanisms underlying these effects were suggested. However, despite the documented favorable impact of PE on our health, we still lack a thorough understanding of its effects on autoimmune neuroinflammation and specific guidelines of PE therapy for MS patients are lacking. To that end, current findings on the impact of PE on autoimmune neuroinflammation, both in human MS and animal models are reviewed. The concept of personalized PE therapy for autoimmune neuroinflammation is discussed, and future research for providing biological rationale for clinical trials to pave the road for precise PE therapy in MS patients is described.