Multiple Sclerosis (MS) is a chronic, autoimmune condition characterized by demyelinating lesions and axonal degradation. Even though the cause of MS is heterogeneous, it is known that peripheral immune invasion in the central nervous system (CNS) drives pathology at least in the most common form of MS, relapse-remitting MS (RRMS). The more progressive forms’ mechanisms of action remain more elusive yet an innate immune dysfunction combined with neurodegeneration are likely drivers. Recently, increasing studies have focused on the influence of metabolism in regulating immune cell function. In this regard, exercise has long been known to regulate metabolism, and has emerged as a promising therapy for management of autoimmune disorders. Hence, in this review, we inspect the role of key immunometabolic pathways specifically dysregulated in MS and highlight potential therapeutic benefits of exercise in modulating those pathways to harness an anti-inflammatory state. Finally, we touch upon current challenges and future directions for the field of exercise and immunometabolism in MS.