Weight resistance training (RT) is an essential component of physical conditioning programs to improve the quality of life and physical fitness in different ages and populations. This integrative review aimed to analyze the scientific evidence on the relationship between exercise selection and the appearance of musculoskeletal injuries in physical fitness centers (PFC). The PubMed or Medline, EMBASE or Science Direct, Google Scholar and PEDro databases were selected to examine the available literature using a Boolean algorithm with search terms. The review process was performed using the five-stage approach for an integrative review and it was reported according to the PRISMA in Exercise, Rehabilitation, Sport Medicine and Sports Science (PERSiST) guidelines. A total of 39 peer-reviewed articles (Price index = 71.7%) met the inclusion criteria and evaluated the link between exercise selection and the incidence of injuries in exercisers who regularly attend PFC. Most injuries occur to the shoulders, elbows, vertebrae of the spine, and knees. Although the injury etiologies are multifactorial, the findings of the reviewed articles include the impacts of overuse, short post-exercise recovery periods, poor conditioning in the exercised body areas, frequent use of heavy loads, improper technique in certain exercises, and the abuse of performance- and image-enhancing drugs. Practical recommendations addressed to clinical exercise physiologists, exercise professionals, and health professionals are given in this paper. The exercise selection in RT programs requires professional supervision and adhering to proper lifting techniques and training habits that consider the anatomical and biomechanical patterns of the musculoskeletal structures, as well as genetic, pedagogical, and methodological aspects directly related to the stimulus–response process to mitigate the occurrence of RT-related injuries in PFC.