Underwater activities are characterized by an imbalance between reactive oxygen/nitrogen species (RONS) and antioxidant mechanisms, which can be associated with an inflammatory response, depending on O2 availability. This review explores the oxidative stress mechanisms and related inflammation status (Oxy-Inflammation) in underwater activities such as breath-hold (BH) diving, Self-Contained Underwater Breathing Apparatus (SCUBA) and Closed-Circuit Rebreather (CCR) diving, and saturation diving. Divers are exposed to hypoxic and hyperoxic conditions, amplified by environmental conditions, hyperbaric pressure, cold water, different types of breathing gases, and air/non-air mixtures. The “diving response”, including physiological adaptation, cardiovascular stress, increased arterial blood pressure, peripheral vasoconstriction, altered blood gas values, and risk of bubble formation during decompression, are reported.