Given the benefits that exercise brings to physical and mental health, several authors have investigated its effectiveness as a treatment for various pathologies such as addictive disorders. The aim of this paper is to review the literature regarding the effectiveness of exercise as a complementary intervention for treatment of psychoactive substance dependence. To achieve this aim, a bibliographic search was conducted in the following databases: PubMed, Scopus, ISI Web of Knowledge, The Cochrane Library, TESEO and TDX. Those articles which evaluated the effectiveness of exercise on craving, withdrawal symptoms and abstinence rates were selected. Regarding nicotine dependence, those studies which evaluated the effectiveness of exercise for reducing weight gain after quitting smoking were also chosen. Seventeen articles met the selection criteria. The usefulness of exercise as a complementary strategy along with habitual therapeutic treatments for psychoactive substance dependence seems to be demonstrated, especially in nicotine dependence for the following variables: achieving or maintaining abstinence, and reducing craving or withdrawal symptoms. Further studies are nevertheless required, especially on illegal psychoactive substance dependence to be able to achieve conclusive results. We must also equally note that this kind of intervention is widely accepted by the drug using community, fact that would make of it a particularly useful tool in treating people with addictive disorders.