Traffic-related air pollution (TRAP) is increasing worldwide. Habitual physical activity is known to prevent cardiorespiratory diseases and mortality, but whether exposure to TRAP during exercise affects respiratory health is still uncertain. Exercise causes inflammatory changes in the airways, and its interaction with the effects of TRAP or ozone might be detrimental, for both athletes exercising outdoor and urban active commuters. In this Mini-Review, we summarize the literature on the effects of exposure to TRAP and/or ozone during exercise on lung function, respiratory symptoms, performance, and biomarkers. Ozone negatively affected pulmonary function after exercise, especially after combined exposure to ozone and diesel exhaust (DE). Spirometric changes after exercise during exposure to particulate matter and ultrafine particles suggest a decrease in lung function, especially in patients with chronic obstructive pulmonary disease. Ozone frequently caused respiratory symptoms during exercise. Women showed decreased exercise performance and higher symptom prevalence than men during TRAP exposure. However, performance was analyzed in few studies. To date, research has not identified reliable biomarkers of TRAP-related lung damage useful for monitoring athletes' health, except in scarce studies on airway cells obtained by induced sputum or bronchoalveolar lavage. In conclusion, despite partly counteracted by the positive effects of habitual exercise, the negative effects of TRAP exposure to pollutants during exercise are hard to assess: outdoor exercise is a complex model, for multiple and variable exposures to air pollutants and pollutant concentrations. Further studies are needed to identify pollutant and/or time thresholds for performing safe outdoor exercise in cities.