Cehegin and the surrounding rural area are perfect for running and cycling, whether on the road or trails. The Via Verde which is a disused railway line running from Caravaca del la Cruz to the city of Murcia at a total of 71km, is designed for walking and cycling on hard surface and dirt tracks. The area at 600m above sea level with short cool winters and long hot summers is very suitable for training or leisure running and cycling.

The month of December is the month the Falcotrail Ultra Run is held, with distances of 100km and 42km, which finishes in Cehegin.

There is also a local running track and swimming pool in the town of Cehegin, along with a local cycling retail outlet.