Insulin therapy, regular physical activity and an individualized dietary plan are considered to be the ideal approach for the treatment plan of type 1 diabetes mellitus (T1DM) patients. Clinical and experimental studies have shown the benefits of exercise training in T1DM, as demonstrated by insulin sensitivity improvement, reduction in insulin requirement and an attenuation of autonomic and cardiovascular dysfunction. This review explores the physiological adaptations to exercise training in T1DM, and discuss the guidelines for physical activity recommendations and prescription in this setting.