The belief that exercise improves sleep is common among the general population, the media, and sleep research authorities. Although epidemiologic research has consistently documented an association between exercise and improved sleep quality, experimental evidence that exercise promotes sleep has been less compelling. Studies involving acute and chronic exercise have revealed, at best, modest improvements in sleep quality that have primarily been relegated to subjective reports. However, early research was plagued by utilization of healthy good sleepers as participants, greatly limiting the possible improvement in sleep that could be induced by exercise. Fortunately, more recent research has focused on older adults and individuals with sleep disorders, with more promising results. This article reviews the available research on exercise and sleep among epidemiologic, acute, and chronic exercise training studies and discusses the possible mechanisms by which exercise could improve sleep.