Positive effects from sports are achieved primarily through physical activity, but secondary effects bring health benefits such as psychosocial and personal development and less alcohol consumption. Negative effects, such as the risk of failure, injuries, eating disorders, and burnout, are also apparent. Because physical activity is increasingly conducted in an organized manner, sport’s role in society has become increasingly important over the years, not only for the individual but also for public health. In this paper, we intend to describe sport’s physiological and psychosocial health benefits, stemming both from physical activity and from sport participation per se. This narrative review summarizes research and presents health-related data from Swedish authorities. It is discussed that our daily lives are becoming less physically active, while organized exercise and training increases. Average energy intake is increasing, creating an energy surplus, and thus, we are seeing an increasing number of people who are overweight, which is a strong contributor to health problems. Physical activity and exercise have significant positive effects in preventing or alleviating mental illness, including depressive symptoms and anxiety- or stress-related disease. In conclusion, sports can be evolving, if personal capacities, social situation, and biological and psychological maturation are taken into account. Evidence suggests a dose–response relationship such that being active, even to a modest level, is superior to being inactive or sedentary. Recommendations for healthy sports are summarized.