Tobacco is one of the main causes of mortality in industrialized countries, yet there is no treatment that is wholly efficacious for helping smokers to quit the habit. Physical exercise is one of the low-cost nonpharmacologic strategies in rehabilitation therapies in several diseases and its practice offers a way of combating the harmful effects of smoking on health. Studies have shown that physical exercise helps reduce the intensity of some of the main symptoms that may arise when a smoker attempts to quit, yet doctors and sport therapists are generally unaware of this benefit and do not know how to prescribe exercise appropriately. This study aims to present the reasons why physical exercise should be considered as a useful nonpharmacologic aid in combatting the symptoms of smoking and smoking cessation, to review the relevant literature, and to outline basic guidelines that might serve to orient the prescription of physical exercise for smokers attempting to quit.