In obese persons, general and specific musculoskeletal pain is common. Emerging evidence suggests that obesity modulates pain via several mechanisms such as mechanical loading, inflammation, and psychological status. Pain in obesity contributes to deterioration of physical ability, health-related quality of life, and functional dependence. We present the accumulating evidence showing the interrelationships of mechanical stress, inflammation, and psychological characteristics on pain. While acute exercise may transiently exacerbate pain symptoms, regular participation in exercise can lower pain severity or prevalence. Aerobic exercise, resistance exercise, or multimodal exercise programs (combination of the two types) can reduce joint pain in young and older obese adults in the range of 14%–71.4% depending on the study design and intervention used. While published attrition rates with regular exercise are high (∼50%), adherence to exercise may be enhanced with modification to exercise including the accumulation of several exercise bouts rather than one long session, reducing joint range of motion, and replacing impact with nonimpact activity. This field would benefit from rigorous comparative efficacy studies of exercise intensity, frequency, and mode on specific and general musculoskeletal pain in young and older obese persons.