Extracorporeal shock wave therapy (ESWT) is a safe and effective treatment option for various pathologies of the musculoskeletal system. Many studies addressed the molecular and cellular mechanisms of action of ESWT. However, no uniform concept could be established in this matter until now. We performed a systematic review of the effects of exposure of musculoskeletal tissue to extracorporeal shock waves (ESWs) reported in the literature. The key results were as follows: (i) compared to the effects of many other forms of therapy, the clinical benefit of ESWT does not appear to be based on a single mechanism; (ii) different tissues respond to the same mechanical stimulus in different ways; (iii) just because a mechanism of action of ESWT was described in a study does not automatically mean that this mechanism was relevant to the observed clinical effect; (iv) focused ESWs and radial ESWs seem to act in a similar way; and (v) even the most sophisticated research into the effects of exposure of musculoskeletal tissue to ESWs cannot substitute clinical research in order to determine the optimum intensity, treatment frequency and localization of ESWT.