Inflammatory pain and depression are clinically common disorders with a high comorbidity rate. They mutually exacerbate their pathological processes and severely reduce the quality of life of patients. The pathogenesis of the comorbidity of inflammatory pain and depression is highly complex, posing significant challenges for clinical diagnosis and treatment. Recent studies have revealed that sustained activation of neuroinflammation is a central pathological link in the comorbidity of inflammatory pain and depression. As a non-pharmacological intervention, exercise can effectively improve both pain and depressive symptoms in patients with comorbidity. However, its specific mechanisms of action remain incompletely elucidated. This article summarizes recent research advances on the effects of exercise in inhibiting central inflammation, modulating the balance of microglial M1/M2 polarization, regulating neuronal excitatory-inhibitory homeostasis, and promoting hippocampal neurogenesis. It systematically reviews the molecular and neural mechanisms by which exercise modulates neuroinflammation to treat the comorbidity of inflammatory pain and depression, with the aim of providing a theoretical basis and practical guidance for clinical exercise therapy.