The mechanisms involved in the generation of oxidative damage and lung inflammation induced by physical exercise are described. Changes in lung function induced by exercise involve cooling of the airways, fluid evaporation of the epithelial surface, increased contact with polluting substances, and activation of the local and systemic inflammatory response. The present work includes evidence obtained from the different types of exercise in terms of duration and intensity, the effect of both acute performance and chronic performance, and the influence of special conditions such as cold weather, high altitude, and polluted environments. Levels of prooxidants, antioxidants, oxidative damage to biomolecules, and cellularity, as well as levels of soluble mediators of the inflammatory response and its effects on tissues, are described in samples of lung origin. These samples include tissue homogenates, induced sputum, bronchoalveolar lavage fluid, biopsies, and exhaled breath condensate obtained in experimental protocols conducted on animal and human models. Finally, the need to simultaneously explore the oxidative/inflammatory parameters to establish the interrelation between them is highlighted.