More than 100 substances have been identified as biomarkers of acute kidney injury. These markers can help to diagnose acute kidney injury (AKI) in its early phase, when the creatinine level is not increased. The two markers most frequently studied in plasma and serum are cystatin C and neutrophil gelatinase-associated lipocalin (NGAL). The former is a marker of kidney function and the latter is a marker of kidney damage. Some other promising serum markers, such as osteopontin and netrin-1, have also been proposed and studied. The list of promising urinary markers is much longer and includes cystatin C, NGAL, kidney injury molecule-1 (KIM-1), liver-type fatty-acid-binding protein (L-FABP), interleukin 18, insulin-like growth factor binding protein 7 (IGFBP-7), tissue inhibitor of metalloproteinases-2 (TIMP-2) and many others. Although these markers are increased in urine for no longer than a few hours after nephrotoxic agent action, they are not widely used in clinical practice. Only combined IGFBP-7/TIMP-2 measurement was approved in some countries as a marker of AKI. Several studies have shown that the levels of urinary AKI biomarkers are increased after physical exercise. This systematic review focuses on studies concerning changes in new AKI biomarkers in healthy adults after single exercise. Twenty-seven papers were identified and analyzed in this review. The interpretation of results from different studies was difficult because of the variety of study groups, designs and methodology. The most convincing data concern cystatin C. There is evidence that cystatin C is a better indicator of glomerular filtration rate (GFR) in athletes after exercise than creatinine and also at rest in athletes with a lean mass lower or higher than average. Serum and plasma NGAL are increased after prolonged exercise, but the level also depends on inflammation and hypoxia; therefore, it seems that in physical exercise, it is too sensitive for AKI diagnosis. It may, however, help to diagnose subclinical kidney injury, e.g., in rhabdomyolysis. Urinary biomarkers are increased after many types of exercise. Increases in NGAL, KIM-1, cystatin-C, L-FABP and interleukin 18 are common, but the levels of most urinary AKI biomarkers decrease rapidly after exercise. The importance of this short-term increase in AKI biomarkers after exercise is doubtful. It is not clear if it is a sign of mild kidney injury or physiological metabolic adaptation to exercise.