Research into the detrimental effects of excessive exercise has been conceptualized in a number of similar ways, including ‘exercise addiction’, ‘exercise dependence’, ‘obligatory exercising’, ‘exercise abuse’, and ‘compulsive exercise’. Among the most currently used (and psychometrically valid and reliable) instruments is the Exercise Addiction Inventory (EAI). The present study aimed to further explore the psychometric properties of the EAI by combining the datasets of a number of surveys carried out in five different countries (Denmark, Hungary, Spain, UK, and US) that have used the EAI with a total sample size of 6,031 participants. A series of multigroup confirmatory factor analyses (CFAs) were carried out examining configural invariance, metric invariance, and scalar invariance. The CFAs using the combined dataset supported the configural invariance and metric invariance but not scalar invariance. Therefore, EAI factor scores from five countries are not comparable because the use or interpretation of the scale was different in the five nations. However, the covariates of exercise addiction can be studied from a cross-cultural perspective because of the metric invariance of the scale. Gender differences among exercisers in the interpretation of the scale also emerged. The implications of the results are discussed, and it is concluded that the study’s findings will facilitate a more robust and reliable use of the EAI in future research.