This review offers an overview of the influence of reactive species produced during exercise and their effect on exercise adaptation. Reactive species and free radicals are unstable molecules that oxidize other molecules in order to become stable. Although they play important roles in our body, they can also lead to oxidative stress impairing diverse cellular functions. During exercise, reactive species can be produced mainly, but not exclusively, by the following mechanisms: electron leak at the mitochondrial electron transport chain, ischemia/reperfusion and activation of endothelial xanthine oxidase, inflammatory response, and autooxidation of catecholamines. Chronic exercise also leads to the upregulation of the body's antioxidant defence mechanism, which helps minimize the oxidative stress that may occur after an acute bout of exercise. Recent studies show a beneficial role of the reactive species, produced during a bout of exercise, that lead to important training adaptations: angiogenesis, mitochondria biogenesis, and muscle hypertrophy. The adaptations occur depending on the mechanic, and consequently biochemical, stimulus within the muscle. This is a new area of study that promises important findings in the sphere of molecular and cellular mechanisms involved in the relationship between oxidative stress and exercise.