Physical activity and exercise are positive health behaviors that have been shown to reduce the risk of physical and psychological diseases. There is a strong rationale that physical activity could be a protective factor against the development of substance use disorders (SUDs), which include some of the most common mental health conditions such as tobacco and alcohol use disorder. This review examined the epidemiological literature to describe the associations of physical activity and substance use across the lifespan. The findings indicated that physical activity is positively associated with current and future alcohol use but negatively associated with tobacco and other drug use, with the strongest support originating from adolescent and young adult samples. Considerably less data exist on physical activity and other drug use in later life. Limitations in previous studies, such as the indeterminate measurement of physical activity and absence of clinical substance use disorder endpoints, should be addressed in future investigations to provide clarity regarding the strength and directions of these relationships among different substances and populations.