There is a direct relationship between chronically elevated cholesterol levels (dyslipidaemia) and coronary heart disease. A reduction in total cholesterol is considered the gold standard in preventative cardiovascular medicine. Exercise has been shown to have positive impacts on the pathogenesis, symptomatology and physical fitness of individuals with dyslipidaemia, and to reduce cholesterol levels. The optimal mode, frequency, intensity and duration of exercise for improvement of cholesterol levels are, however, yet to be identified. This review assesses the evidence from 13 published investigations and two review articles that have addressed the effects of aerobic exercise, resistance training and combined aerobic and resistance training on cholesterol levels and the lipid profile. The data included in this review confirm the beneficial effects of regular activity on cholesterol levels and describe the impacts of differing volumes and intensities of exercise upon different types of cholesterol. Evidence-based exercise recommendations are presented, aimed at facilitating the prescription and delivery of interventions in order to optimize cholesterol levels.