The endocannabinoid system (ECS) is involved in various processes, including brain plasticity, learning and memory, neuronal development, nociception, inflammation, appetite regulation, digestion, metabolism, energy balance, motility, and regulation of stress and emotions. Physical exercise (PE) is considered a valuable non-pharmacological therapy that is an immediately available and cost effective method with a lot of health benefits, one of them being the activation of the endogenous cannabinoids. Endocannabinoids (eCBs) are generated as a response to high-intensity activities and can act as short-term circuit breakers, generating antinociceptive responses for a short and variable period of time. A runner’s high is an ephemeral feeling some sport practitioners experience during endurance activities, such as running. The release of eCBs during sustained physical exercise appears to be involved in triggering this phenomenon. The last decades have been characterized by an increased interest in this emotional state induced by exercise, as it is believed to alleviate pain, induce mild sedation, increase euphoric levels, and have anxiolytic effects. This review provides information about the current state of knowledge about endocannabinoids and physical effort and also an overview of the studies published in the specialized literature about this subject.