The objective of this article was to review part of the existing literature on exercise dependence with the intention of clarifying its definition, summarizing the studies available on the phenomenon, indicating the instruments of measurement of higher scientific rigor available, and finally discussing possible conclusions and future work directions. The different studies reviewed indicate that, in general, the “exercise dependence” has been understood as the need of physical activity, resulting in a excessive and uncontrollable physical exercise behaviour, of which the absence causes physiological and/or psychological symptoms. However, exercise dependence is not yet recognized as a distinct behaviour disorder, because there is no consensus in the objective criteria to establish its diagnosis. Also some studies, and the measures developed for the assessment of the dependency, have not been able to differentiate individuals who are “dependent” from those “non-dependent” on physical exercise. Researchers in this area demand investigations with more robust designs in order to clarify: (1) the criteria to define the dependent from the non-dependent individuals, and (2) the precipitating and perpetuating factors associated with exercise dependence.