Self-esteem has been regarded as an important element of quality of life (QOL), health-related QOL (HRQL), and psychological well-being within educational, clinical, and health programs. Additionally, self-esteem enhancement is a common objective of physical education and exercise programs. This paper reviews some theoretically-based studies examining the multidimensional and hierarchical self-esteem model in the domain of exercise psychology, and discusses how these findings may guide the design and application of exercise interventions. Recent advances in the theory and measurement of self-esteem are described, including the concept of multidimensionality and hierarchical structuring. The hierarchical model proposed by Fox and Cotbin (1989) and the exercise and self-esteem model (EXSEM) proposed by Sonstroem and Morgan (1989) are explained. Use of these models is recommended as a theoretical framework for research on exercise and self-esteem. In addition, the Physical Self-Perception Profile (PSPP) and the Physical Self-Description Questionnaire (PSDQ) are used to assess the model. The PSPP and the PSDQ can be regarded as well-established, reliable and well-validated instruments. This review also summarizes research examining the effect of exercise on self-esteem and the structure of the multidimensional and hierarchical self-esteem model. This research shows that participation in physical activity is related to improvements in physical self-worth and global self-esteem. Finally, several shortcomings within the former literature as well as implications for future study are described. It is hoped that this review will provide new insights and highlight important directions for future investigation.