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 to properly manage circulating insulin levels around PA. While the most common problem is 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 (CSII) offers a 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, CSII 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 CSII. This review highlights the current state of knowledge on exercise-related glucose variations, especially the hypoglycemic risk as well as its underlying physiology. Further, we detail the current recommendations for insulin modulations according to the different PA modalities (type, intensity, duration, frequency) in individuals living with T1D using CSII.