Background: Oxidative stress is involved in different pathophysiological states, such as aging, inflammatory, cardiovascular and neurodegenerative diseases, by damaging several cellular and tissue components including proteins, DNA and lipids. On the other hand, free radicals generated during physical activity are important modulators of muscle contraction, antioxidant protection, and oxidative damage repair. Indeed, ROS, generated during physical activity, are likely main mediators of antioxidant molecules upregulation, as reflected by increased glutathione reductase levels after exercise training. Methods: The aim of this review is to summarize the main mechanisms responsible for ROS-dependent adaptations to exercise training. Results: Regular moderate exercise seems to counteract oxidative stress-related detrimental changes and to promote a healthy lifestyle. Conversely, acute and strenuous exercise can generate an excess of free radicals production. Moreover, regular habitual physical activity is related to reduced risk of coronary heart disease and death, whereas vigorous exercise has been shown to favour sudden cardiac death in sedentary individuals with preexisting vascular disease. New specific markers of mitochondrial or ER dysfunction may be better clues of oxidative stress, and their application to clinical practice may help set up the optimal dose, intensity and modality of exercise training for every single subject. Conclusion: The relationship between exercise and oxidative stress is extremely complex, depending on the mode, intensity, and duration of exercise. These conflicting effects and outcomes may be explained by the hormesis theory, in which low doses of an agent that is detrimental at high doses, induces an adaptive beneficial effect on the cells or organism.