The positive effects of physical activity are countless, not only on the cardiovascular system but on health in general. However, some studies suggest a U-shape relationship between exercise volume and effects on the cardiovascular system. On the basis of this perspective, moderate-dose exercise would be beneficial compared to a sedentary lifestyle, while very high-dose physical activity would paradoxically be detrimental. We reviewed the available evidence on the potential adverse effects of very intense, prolonged exercise on the cardiovascular system, both acute and chronic, in healthy athletes without pre-existing cardiovascular conditions. We found that endurance sports activities may cause reversible electrocardiographic changes, ventricular dysfunction, and troponin elevation with complete recovery within a few days. The theory that repeated bouts of acute stress on the heart may lead to chronic myocardial damage remains to be demonstrated. However, male veteran athletes with a long sports career show an increased prevalence of cardiovascular abnormalities such as electrical conduction delay, atrial fibrillation, myocardial fibrosis, and coronary calcifications compared to non-athletes. It must be underlined that the cause–effect relationship between such abnormalities and the exercise and, most importantly, the prognostic relevance of such findings remains to be established.