In this review, we discuss the role of inactivity and exercise on appetite regulation, both in the short and long term, and the potential mechanisms involved. A better short-term appetite control has been described in active compared to sedentary men, and an exercise intervention was shown to improve appetite control in previously sedentary individuals. The mechanisms whereby exercise improves short-term appetite control remain obscure and although the changes in the postprandial release of satiety peptides are attractive hypotheses, it remains unproven. The impact of exercise on habitual food intake is also controversial and likely to be dependent on restraint level and body weight. We hypothesize that the beneficial impact of exercise on appetite regulation can contribute to its well-established efficacy in the prevention of weight regain in obese individuals. However, more studies are needed in the obese population to clearly establish the role of exercise on appetite control in this group.