Both exposure to higher levels of polluted air and physical inactivity are crucial risk factors for the development and progression of major noncommunicable diseases and, in particular, of cardiovascular disease. In this context, the World Health Organization estimated 4.2 and 3.2 million global deaths per year in response to ambient air pollution and insufficient physical activity, respectively. While regular physical activity is well known to improve general health, it may also increase the uptake and deposit of air pollutants in the lungs/airways and circulation, due to increased breathing frequency and minute ventilation, thus increasing the risk of cardiovascular disease. Thus, determining the tradeoff between the health benefits of physical activity and the potential harmful effects of increased exposure to air pollution during physical activity has important public health consequences. In the present comprehensive review, we analyzed evidence from human and animal studies on the combined effects of physical activity and air pollution on cardiovascular and other health outcomes. We further report on pathophysiological mechanisms underlying air pollution exposure, as well as the protective effects of physical activity with a focus on oxidative stress and inflammation. Lastly, we provide mitigation strategies and practical recommendations for physical activity in areas with polluted air.