The role of oxidative stress, an imbalance between reactive oxygen species production (ROS) and antioxidants, has been described in several patho-physiological conditions, including cardiovascular, neurological diseases and cancer, thus impacting on individuals’ lifelong health. Diet, environmental pollution, and physical activity can play a significant role in the oxidative balance of an organism. Even if physical training has proved to be able to counteract the negative effects caused by free radicals and to provide many health benefits, it is also known that intensive physical activity induces oxidative stress, inflammation, and free radical-mediated muscle damage. Indeed, variations in type, intensity, and duration of exercise training can activate different patterns of oxidant–antioxidant balance leading to different responses in terms of molecular and cellular damage. The aim of the present review is to discuss (1) the role of oxidative status in athletes in relation to exercise training practice, (2) the implications for muscle damage, (3) the long-term effect for neurodegenerative disease manifestations, (4) the role of antioxidant supplementations in preventing oxidative damages.