This article reviews the role of free radicals in causing oxidative stress during exercise. High intensity exercise induces oxidative stress and although there is no evidence that this affects sporting performance in the short term, it may have longer term health consequences. The mechanisms of exercise-induced oxidative stress are not well understood. Mitochondria are sometimes considered to be the main source of free radicals, but in vitro studies suggest they may play a more minor role than was first thought. There is a growing acceptance of the importance of haem proteins in inducing oxidative stress. The release of metmyoglobin from damaged muscle is known to cause renal failure in exercise rhabdomyolysis. Furthermore, levels of methaemoglobin increase during high intensity exercise, while levels of antioxidants, such as reduced glutathione, decrease. We suggest that the free-radical-mediated damage caused by the interaction of metmyoglobin and methaemoglobin with peroxides may be an important source of oxidative stress during exercise.