Reactive oxygen (ROS) and nitrogen species (RNS) are continuously generated in the biological system and play an important role in a variety of physiological and pathological processes. There is evidence that physical exercise augments the generation of ROS/RNS. The present review discusses and compares insights into the generation and function of ROS/RNS such as superoxide, hydrogen peroxide, hypochloric acid, and nitric oxide released by leukocytes in response to exercise. Emphasis is placed on: (a) mechanisms and regulation of ROS/RNS generation in immunocompetent cells with respect to acute exercise and regular training; (b) damaging effects of ROS/RNS in terms of oxidative stress which may be causally involved in features such as exercise-induced damage to muscle tissue and leukocyte DNA; (c) (immuno-) modulating effects of ROS/RNS which include activation of transcription factors; (d) responses of antioxidant stress proteins to acute exercise and regular training; and (e) effects of antioxidants on exercise-induced changes in immune function. Available data suggests that ROS/RNS are involved in the inflammatory response to heavy exercise and therefore exert damaging effects. Several immune functions are influenced by actions of ROS/RNS, and it is hypothesized that adaption to regular training is also modulated in part by free radicals. Furthermore, regular training seems to reduce the capacity of leukocytes for oxidant release and leads to an adaptation of antioxidative mechanisms, which may contribute to a limitation of exercise-induced oxidative stress.