Physical activity stimulates numerous structural, metabolic, and morphological adaptations. These adaptations are vital for maintaining human health throughout life. Developments in molecular biology, biochemistry, and bioinformatics, along with exercise physiology have identified many signaling pathways, and transcriptional and translational processes responsible for exercise-related adaptations. The molecular mechanisms underlying the beneficial effects of exercise are not fully understood. Recently, the focus has been on microRNAs (miRNAs). They are small noncoding RNA molecules that negatively modulate gene expression and are involved in fundamental biological processes. This review describes miRNAs whose activities change in the heart, skeletal muscle, and circulation due to exercise. In addition, miRNAs with altered activity may be parameters adaptation to exercise, preventing injuries, and monitoring health status.