Excessive release of inflammatory cytokines and oxidative stress (OS) are triggering factors in the onset of chronic diseases. One of the factors that can ensure health in humans is regular physical activity. This type of activity can enhance immune function and dramatically prevent the spread of the cytokine response and OS. However, if physical activity is done intensely at irregular intervals, it is not only unhealthy but can also lead to muscle damage, OS, and inflammation. In this review, the response of cytokines and OS to exercise is described. In addition, it is focused predominantly on the role of reactive oxygen and nitrogen species (RONS) generated from muscle metabolism and damage during exercise and on the modulatory effects of antioxidant supplements. Furthermore, the influence of factors such as age, sex, and type of exercise protocol (volume, duration, and intensity of training) is analyzed. The effect of antioxidant supplements on improving OS and inflammatory cytokines is somewhat ambiguous. More research is needed to understand this issue, considering in greater detail factors such as level of training, health status, age, sex, disease, and type of exercise protocol.