It is now well established that reactive oxygen species (ROS) play a dual role as both deleterious and beneficial species. In fact, ROS act as secondary messengers in intracellular signalling cascades; however, they can also induce cellular senescence and apoptosis. Aging is an intricate phenomenon characterized by a progressive decline in physiological functions and an increase in mortality, which is often accompanied by many pathological diseases. ROS are involved in age-associated damage to macromolecules, and this may cause derangement in ROS-mediated cell signalling, resulting in stress and diseases. Moreover, the role of oxidative stress in age-related sarcopenia provides strong evidence for the important contribution of physical activity to limit this process. Regular physical activity is considered a preventive measure against oxidative stress-related diseases. The aim of this review is to summarize the currently available studies investigating the effects of chronic and/or acute physical exercise on the oxidative stress process in healthy elderly subjects. Although studies on oxidative stress and physical activity are limited, the available information shows that acute exercise increases ROS production and oxidative stress damage in older adults, whereas chronic exercise could protect elderly subjects from oxidative stress damage and reinforce their antioxidant defences. The available studies reveal that to promote beneficial effects of physical activity on oxidative stress, elderly subjects require moderate-intensity training rather than high-intensity exercise.