This retrospective, cross-sectional database study aimed to identify characteristics associated with self-reported frequent exercise (defined as moderate- to vigorous-intensity exercise for ≥30 min five times a week) in older U.S. (≥50 years) adults with pain in the past 4 weeks, using 2017 Medical Expenditure Panel Survey data and hierarchical logistic regression models. The variables significantly associated with frequent exercise included being male (adjusted odds ratio [AOR] = 1.507, 95% confidence interval [CI] [1.318, 1.724]); non-Hispanic (AOR = 1.282, 95% CI [1.021, 1.608]); employed (AOR = 1.274, 95% CI [1.040, 1.560]); having no chronic conditions versus ≥5 conditions (AOR = 1.576, 95% CI [1.094, 2.268]); having two chronic conditions versus ≥5 conditions (AOR = 1.547, 95% CI [1.226, 1.952]); having no limitation versus having a limitation (AOR = 1.209, 95% CI [1.015, 1.441]); having little/moderate versus quite/extreme pain (AOR = 1.358, 95% CI [1.137, 1.621]); having excellent/very good versus fair/poor physical health (AOR = 2.408, 95% CI [1.875, 3.093]); and having good versus fair/poor physical health (AOR = 1.337, 95% CI [1.087, 1.646]). These characteristics may be useful to create personalized pain management protocols that include exercise for older adults with pain.