This literature review aims to analyse the costing methodology in economic analyses of primary preventive physical activity programmes. It demonstrates the usability of a recently published theoretical framework in practice, and may serve as a guide for future economic evaluation studies and for decision making. A comprehensive literature search was conducted to identify all relevant studies published before December 2009. All studies were analysed regarding their key economic findings and their costing methodology. In summary, 18 international economic analyses of primary preventive physical activity programmes were identified. Many of these studies conclude that the investigated intervention provides good value for money compared with alternatives (no intervention, usual care or different programme) or is even cost-saving. Although most studies did provide a description of the cost of the intervention programme, methodological details were often not displayed, and savings resulting from the health effects of the intervention were not always included sufficiently. This review shows the different costing methodologies used in the current health economic literature and compares them with a theoretical framework. The high variability regarding the costs assessment and the lack of transparency concerning the methods limits the comparability of the results, which points out the need for a handy minimal dataset of cost assessment.