Purpose of Review: For many years, exercise was controversial in multiple sclerosis (MS) and thought to exacerbate symptoms and fatigue. However, having been found to be safe and effective, exercise has become a cornerstone of MS rehabilitation and may have even more fundamental benefits in MS, with the potential to change clinical practice again. The aim of this review is to summarize the existing knowledge of the effects of exercise as primary, secondary, and tertiary prevention in MS. Recent Findings: Initial studies established exercise as an effective symptomatic treatment (i.e., tertiary prevention), but recent studies have evaluated the disease-modifying effects (i.e., secondary prevention) of exercise as well as the impact on the risk of developing MS (i.e., primary prevention). Summary: Based on recent evidence, a new paradigm shift is proposed, in which exercise at an early stage should be individually prescribed and tailored as “medicine” to persons with MS, alongside conventional medical treatment.