Regular exercise reduces the risk for numerous chronic diseases. Exercise not only impacts the contracting skeletal muscle but also elicits systemic changes. The exact mechanisms driving the more systemic changes have yet to be resolved, but exercise factors are thought to be an important missing link. Exercise factors are proteins that are released from skeletal muscle into the circulation during exercise. They represent a subclass of myokines, which are classified as proteins secreted from skeletal muscle serving a signaling role. Here, we provide an overview of the current literature on myokines. Many studies have focused on the identification of new myokines using a variety of approaches. These studies have generated an extensive list of myokines, but so far, the functional relevance of many of these novel myokines remains unclear. Few of these myokines represent putative exercise factors. Currently, IL-6, secreted protein acidic and rich in cysteine, angiopoietin-like 4, chemokine (C-X3-C motif) ligand 1, and chemokine (C-C motif) ligand 2 have the highest potential to serve as exercise factors because for all these factors, there is clear evidence that plasma levels increase during exercise. In our view, the future focus should be on characterizing the functional role of myokines in the acute and chronic response to exercise and explore their potential as a target for metabolic diseases.