Despite the health-promoting effects of physical activity, exercise enhances the formation of free radicals and other reactive species in animals and humans. Numerous techniques have been established to investigate the diverse modifications of biomolecules by oxidative stress. These analytical procedures include different methods, ranging from simple photometric assays to a combination of chromatographic methods with mass spectrometry. We summarize briefly those analytical techniques of oxidative damage to biomolecules that have been applied to the investigation of oxidative stress during exercise.