Breast cancer, the most common in women, is a cancer of good prognosis. During this last decade, the improvement of cancer screening and treatment has significantly increased disease-free and overall survival. However, the chemotherapy, especially based on anthracyclines, and targeted therapies like trastuzumab have a toxicity to the cardiovascular system. If physical exercise is recognized as beneficial in tertiary prevention, especially by reducing fatigue, improving the physiological capacities of exercise, muscle strength and ultimately quality of life, conversely, few data are available on the effects of exercise on treatment-induced cardiotoxicity. This review, based on the PubMed database, presents the results of preclinical and clinical studies showing that physical exercise, by its cardioprotective role, increases the antioxidant capacity, reduces oxidative stress, maintains the left ventricular ejection fraction at a normal value and improves diastolic functions during and after treatment. Regular physical exercise should be an integral part of supportive care in oncology but it is necessary, in future studies, to determine its modalities for a better prevention of the cardiotoxicity of the treatments.