The study investigated the relations between physical exercise and musculoskeletal pain among forest industry workers. We studied a population of 3312 Finnish forest industry workers, who replied to a questionnaire survey in 1994 (response rate 77%). The outcome variables in this cross-sectional study were the number of days with pain in the low back, neck, shoulder and knee during the preceding 12 months. Multivariable logistic regression models were used in statistical analyses. Active walkers had more sciatic pain, active volleyball players had more shoulder pain and those who practiced trekking actively had more knee pain than those who practiced these activities less. The risk of shoulder pain was more than three times higher for those who played volleyball actively compared to those who played less. In addition, age, mental stress and work-related physical loading were strongly associated with musculoskeletal pain. When studying the relations between physical exercise and musculoskeletal pain in a working population, it is important to not only detect the general physical activity but also to specify the different modes of exercise. In addition, the other factors which are strongly related to pain (such as mental stress and work-related physical loading) should be taken into account.