The research of biomarkers continues to emerge as a developing academic field which is attracting substantial interest. The study of biomarkers proves to be useful in developing and implementing new screening methods for a wide variety of diseases including in the sports area, whether for leisure activities or professional sports. Novel research has brought into question the immune system and the limitations it may impose on sports practicing. As the well-being of athletes is a priority, the state of their immune function offers valuable information regarding their health status and their ability to continue training. The assessment of various biomarkers may contribute to a more accurate risk stratification and subsequent prevention of some invalidating or even fatal pathologies such as the sudden cardiac death. Therefore, we have reviewed several studies that included sports-related pathology or specific morphofunctional alterations for which some immune biomarkers may represent an expression of the underlying mechanism. These include the defensins, immunoglobulin A (IgA), interleukin-6 (IL-6), the tumoral necrosis factor α (TNF-α), and the white blood cells (WBC) count. Similarly, also of significant interest are various endocrine biomarkers, such as cortisol and testosterone, as well as anabolic or catabolic markers, respectively. Literature data highlight that these values are greatly influenced not only by the duration, but also by the intensity of the physical exercise; moderate training sessions actually enhance the immune function of the body, while a significant increase in both duration and intensity of sports activity acts as a deleterious factor. Therefore, in this paper we aim to highlight the importance of biomarkers’ evaluation in connection with sports activities and a subsequent more adequate approach towards personalized training regimens.