Exercise research has always drawn the attention of the scientific community because it can be widely applied to sport training, health improvement, and disease prevention. For many years numerous tools have been used to investigate the several physiological adaptations induced by exercise stimuli. Nowadays a closer look at the molecular mechanisms underlying metabolic pathways and muscular and cardiovascular adaptation to exercise are among the new trends in exercise physiology research. Considering this, to further understand these adaptations as well as pathology attenuation by exercise, several studies have been conducted using molecular investigations, and this trend looks set to continue. Through enormous biotechnological advances, proteomic tools have facilitated protein analysis within complex biological samples such as plasma and tissue, commonly used in exercise research. Until now, classic proteomic tools such as one- and two-dimensional polyacrylamide gel electrophoresis have been used as standard approaches to investigate proteome modulation by exercise. Furthermore, other recently developed in gel tools such as differential gel electrophoresis (DIGE) and gel-free techniques such as the protein labeling methods (ICAT, SILAC, and iTRAQ) have empowered proteomic quantitative analysis, which may successfully benefit exercise proteomic research. However, despite the three decades of 2-DE development, neither classic nor novel proteomic tools have been convincingly explored by exercise researchers. To this end, this review gives an overview of the directions in which exercise-proteome research is moving and examines the main tools that can be used as a novel strategy in exercise physiology investigation.