Increasing levels of physical activity are proven to have a positive impact on physical health and mental well-being. Physical activity is also known to influence work-related outcomes such as reducing sickness absence. Sickness absence is a major public health problem with wide economic impact on society and there may be much to gain from physical activity interventions aimed at preventing long-term sickness absence. Examining the relationship between physical activity and sickness absence is therefore important as it may provide benefits to organisations globally. This article provides a review of the evidence on the relationship between physical activity and sickness absence among employees. A search of databases (Web of Science, ScienceDirect, MEDLINE and Google Scholar) and references of published studies (from inception to 14 November 2012) were conducted to identify intervention studies and observational studies involving employees. A total of 37 studies published between 1981 and 2012 met the inclusion criteria. Evidence from the review suggests that physical activity is effective in reducing sickness absence. However, the studies highlighted a number of methodological concerns, including lack of description of the physical activity programme in intervention studies and use of self-report physical activity in observational studies. We conclude that, overall, the available evidence provides limited support that physical activity is effective in reducing sickness absence, due to the low quality of many of these studies. Future research should provide more detailed descriptions of the physical activity programme and use more reliable objective measures of physical activity such as accelerometers and fitness tests.