Exercise-induced benefits are being increasingly recognized in promoting health and preventing diseases. However, initial adaption to exercise response can have different effects on cells, including an increase in the formation of oxidants and inflammatory mediators that ultimately leads to oxidative stress, but this scenario depends on the exercise type and intensity and training status of the individual. Therefore, we aimed to understand the effect of different types of exercise on oxidative stress. Indeed, exercise-induced minimum oxidative stress is required for regulating signaling pathways. According to the Preferred Reporting Items for Systematic Reviews and Meta-Analyses (PRISMA) statement, a search for relevant articles was carried out on PubMed/Medline, ISI Web of Science, and Google Scholar using a broad range of synonyms such as oxidants, reactive oxygen species (ROS), oxidative stress, exercise, physical training, aerobic exercise, and strength exercise until 2019. This study selected a total of 18 articles for assessing the oxidative damage using various parameters such as malondialdehyde (MDA), protein carbonyl (PCO), and F1-isoprostanes and enzymatic antioxidants. We observed that any type of exercise can increase the oxidative damage in an exercise type and intensity manner. Further, the training status of the individual and specific oxidative damage marker plays a crucial role in predicting earlier oxidative damage in the exercise condition. However, some of the studies that we included for review did not perform follow-up evaluations. Therefore, follow-up programs using larger numbers need to be performed to confirm our findings.