To date several randomized controlled trials (RCT) have shown that pelvic floor muscle (PFM) training is effective in the treatment of female stress (SUI) and mixed urinary incontinence and, therefore, it is recommended as a first-line therapy. While the effectiveness of treatment is established, there are different theoretical rationales for why PFM training is effective. The aims of this article are to discuss the theories behind why PFM training is effective in treating SUI and to discuss each theory in the framework of new knowledge of functional anatomy and examples of results from RCTs. There are three proposed theories to explain the effectiveness of PFM training for SUI: 1) women learn to consciously pre-contract the PFMs before and during increases in abdominal pressure (such as coughing, physical activity) to prevent leakage; 2) strength training builds up long-lasting muscle volume and thus provides structural support; and 3) abdominal muscle training indirectly strengthens the PFM. The first can be placed in a behavioral construct, while the two latter both have the aim of changing neuromuscular function and morphology, thus making the PFM contraction automatic. To date there are RCTs and basic anatomy studies to support the first two concepts only.