The health benefits of exercise are well known. Many of the most accessible forms of exercise, such as walking, cycling, and running often occur outdoors. This means that exercising outdoors may increase exposure to urban air pollution. Regular exercise plays a key role in improving some of the physiologic mechanisms and health outcomes that air pollution exposure may exacerbate. This problem presents an interesting challenge of balancing the beneficial effects of exercise along with the detrimental effects of air pollution upon health. This article summarizes the pulmonary, cardiovascular, cognitive, and systemic health effects of exposure to particulate matter, ozone, and carbon monoxide during exercise. It also summarizes how air pollution exposure affects maximal oxygen consumption and exercise performance. This article highlights ways in which exercisers could mitigate the adverse health effects of air pollution exposure during exercise and draws attention to the potential importance of land use planning in selecting exercise facilities.