Physical activity (PA) is important for individuals living with type 1 diabetes (T1D) due to its various health benefits. Nonetheless, maintaining adequate glycemic control around PA remains a challenge for many individuals living with T1D because of the difficulty in properly managing circulating insulin levels during PA. Although the most common problem is the increased incidence of hypoglycemia during and after most types of PA, hyperglycemia can also occur. Accordingly, a large proportion of people living with T1D are sedentary partly due to the fear of PA-associated hypoglycemia. Continuous subcutaneous insulin infusion offers higher precision and flexibility to adjust insulin basal rates and boluses according to the individual’s specific needs around PA practice. Indeed, for physically active patients with T1D continuous subcutaneous insulin infusion can be a preferred option to facilitate glucose regulation. To our knowledge, there are no guidelines to manage exercise-induced hypoglycemia during PA, specifically for individuals living with T1D and using continuous subcutaneous insulin infusion. In this review, we highlight the current state of knowledge on exercise-related glucose variations, especially hypoglycemic risk, and its underlying physiology. We also detail the current recommendations for insulin modulations according to the different PA modalities (type, intensity, duration, frequency) in individuals living with T1D using continuous subcutaneous insulin infusion.