Gene expression control by microRNAs (miRs) is an important mechanism for maintenance of cellular homeostasis in physiological and pathological conditions as well as in response to different stimuli including nutritional factors and exercise. MiRs are involved in regulation of several processes such as growth and development, fuel metabolism, insulin secretion, immune function, miocardium remodeling, cell proliferation, differenciation, survival, and death. These molecules have also been proposed to be potential biomarkers and/or therapeutical targets in obesity, type 2 diabetes mellitus, cardiovascular diseases, metabolic syndrome, and cancer. MiRs are released by most cells and potentially act on intercellular communication to borderer or distant cells. Various studies have been performed to elucidate the involvement of miRs in exercise-induced effects. The aims of this review are: 1) to bring up the main advances for the comprehension of the mechanisms of action of miRs; 2) to present the main results on miR involvement in physical exercise; 3) to discuss the physiological effects of miRs modified by exercise. The state of the art and the perspectives on miRs associated with physical exercise will be presented. Thus, this review is important for updating recent advances and driving further strategies and studies on the exercise-related miR research.