Endurance sports have an unarguably beneficial influence on cardiovascular health and general fitness. Regular physical activity is considered one of the most powerful tools in the prevention of cardiovascular disease. MicroRNAs are small particles that regulate the post-transcription gene expression. Previous studies have shown that miRNAs might be promising biomarkers of the systemic changes in response to exercise, before they can be detected by standard imaging or laboratory methods. In this review, we focused on four important physiological processes involved in adaptive changes to various endurance exercises (namely, cardiac hypertrophy, cardiac myocyte damage, fibrosis, and inflammation). Moreover, we discussed miRNAs’ correlation with cardiopulmonary fitness parameter (VO2max). After a detailed literature search, we found that miR-1, miR-133, miR-21, and miR-155 are crucial in adaptive response to exercise.