Recently, several studies have highlighted the tight connection between mitochondria and physical activity. Mitochondrial functions are important in high-demanding metabolic activities, such as endurance sports. Moreover, regular training positively affects metabolic health by increasing mitochondrial oxidative capacity and regulating glucose metabolism. Exercise could have multiple effects, also on the mitochondrial DNA (mtDNA) and vice versa; some studies have investigated how mtDNA polymorphisms can affect the performance of general athletes and mtDNA haplogroups seem to be related to the performance of elite endurance athletes. Along with several stimuli, including pathogens, stress, trauma, and reactive oxygen species, acute and intense exercise also seem to be responsible for mtDNA release into the cytoplasm and extracellular space, leading to the activation of the innate immune response. In addition, several sports are characterized by a higher frequency of injuries, including cranial trauma, associated with neurological consequences. However, with regular exercise, circulating cell-free mtDNA levels are kept low, perhaps promoting cf-mtDNA removal, acting as a protective factor against inflammation.