Most cancers are related to lifestyle and environmental risk factors, including smoking, alcohol consumption, dietary habits, and environment (occupational exposures). A growing interest in the association between sexual activity (SA) and the development of different types of tumors in both men and women has been recorded in recent years. The aim of the present systematic review is to describe and critically discuss the current evidence regarding the association between SA and male genital cancers (prostatic, penile, and testicular), and to analyze the different theories and biological mechanisms reported in the literature. A comprehensive bibliographic search in the MEDLINE, Scopus, and Web of Science databases was performed in July 2021. Papers in the English language without chronological restrictions were selected. Retrospective and prospective primary clinical studies, in addition to previous systematic reviews and meta-analyses, were included. A total of 19 studies, including 953,704 patients were selected. Case reports, conference abstracts, and editorial comments were excluded. Men with more than 20 sexual partners in their lifetime, and those reporting more than 21 ejaculations per month, reported a decreased risk of overall and less aggressive prostate cancer (PCa). About 40% of penile cancers (PCs) were HPV-associated, with HPV 16 being the dominant genotype. Data regarding the risk of HPV in circumcised patients are conflicting, although circumcision appears to have a protective role against PC. Viral infections and epididymo-orchitis are among the main sex-related risk factors studied for testicular cancer (TC); however, data in the literature are limited. Testicular trauma can allow the identification of pre-existing TC. SA is closely associated with the development of PC through high-risk HPV transmission; in this context, phimosis appears to be a favoring factor. Sexual behaviors appear to play a significant role in PCa pathogenesis, probably through inflammatory mechanisms; however, protective sexual habits have also been described. A direct correlation between SA and TC has not yet been proven, although infections remain the most studied sex-related factor.