Physical inactivity has caused serious effects on the health of the population, having an impact on the quality of life and the cost of healthcare for many countries. This has motivated government and private institutions to promote regular physical activity, which, paradoxically, can involve health risks when it is carried out in areas with poor air quality. This review collects information from studies conducted on healthy humans related to the pulmonary effects caused by the practice of physical activity when there is poor air quality. In addition, several challenges related to the technological and educational areas, as well as to applied and basic research, have been identified to facilitate the rational practice of exercise in poor air quality conditions.