Iron deficiency is a frequent and multifactorial disorder in the career of athletes, particularly in females. Exercise-induced disturbances in iron homeostasis produce deleterious effects on performance and adaptation to training; thus, the identification of strategies that restore or maintain iron homeostasis in athletes is required. Hepcidin is a liver-derived hormone that degrades the ferroportin transport channel, thus reducing the ability of macrophages to recycle damaged iron, and decreasing iron availability. Although it has been suggested that the circulating fraction of hepcidin increases during early post-exercise recovery (~3 h), it remains unknown how an acute exercise bout may modify the circulating expression of hepcidin. Therefore, the current review aims to determine the post-exercise expression of serum hepcidin in response to a single session of exercise. The review was carried out in the Dialnet, Elsevier, Medline, Pubmed, Scielo and SPORTDiscus databases, using hepcidin (and “exercise” or “sport” or “physical activity”) as a strategy of search. A total of 19 articles were included in the review after the application of the inclusion/exclusion criteria. This search found that a single session of endurance exercise (intervallic or continuous) at moderate or vigorous intensity (60–90% VO2peak) stimulates an increase in the circulating levels of hepcidin between 0 h and 6 h after the end of the exercise bout, peaking at ~3 h post-exercise. The magnitude of the response of hepcidin to exercise seems to be dependent on the pre-exercise status of iron (ferritin) and inflammation (IL-6). Moreover, oxygen disturbances and the activation of a hypoxia-induced factor during or after exercise may stimulate a reduction of hepcidin expression. Meanwhile, cranberry flavonoids supplementation promotes an anti-oxidant effect that may facilitate the post-exercise expression of hepcidin. Further studies are required to explore the effect of resistance exercise on hepcidin expression.