Physical exercise is a type of allostatic load for several endocrine systems, notably the hypothalamic-pituitary-adrenal (HPA) axis. Athletes undergoing a strenuous training schedule can develop a significant decrease in performance associated with systemic symptoms or signs: the overtraining syndrome (OTS). This is a stress-related condition that consists of alteration of physiological functions and adaptation to performance, impairment of psychological processing, immunological dysfunction and biochemical abnormalities. Universally agreed diagnostic criteria for OTS are lacking. The pituitary-adrenal response to a standardized exercise test is usually reduced in overtrained athletes. This HPA dysfunction could reflect the exhaustion stage of Selye's general adaptation syndrome. The most attractive hypothesis that accounts for the observed neuro-endocrine-immune dysregulation is the Smith's cytokine hypothesis of OTS. It assumes that physical training can produce muscle and skeletal trauma, thus generating a local inflammatory reaction. With the excessive repetition of the training stimulus the local inflammation can generate a systemic inflammatory response. The main actors of these processes are the cytokines, polypeptides that modulate HPA function in and outside the brain at nearly every level of activity. It is hoped that future research will focus on endogenous risk factors for morbidities related to the neuro-endocrine-immune adaptation to exercise.