Physical exercise represents a major challenge to whole-body homeostasis, provoking acute and adaptative responses at the cellular and systemic levels. Different sources of reactive oxygen species (ROS) have been described in skeletal muscle (e.g., NADPH oxidases, xanthine oxidase, and mitochondria) and are closely related to the physiological changes induced by physical exercise through the modulation of several signaling pathways. Many signaling pathways that are regulated by exercise-induced ROS generation, such as adenosine monophosphate-activated protein kinase (AMPK), mitogen activated protein kinase (MAPK), nuclear respiratory factor2 (NRF2), and PGC-1α are involved in skeletal muscle responses to physical exercise, such as increased glucose uptake, mitochondriogenesis, and hypertrophy, among others. Most of these adaptations are blunted by antioxidants, revealing the crucial role played by ROS during and after physical exercise. When ROS generation is either insufficient or exacerbated, ROS-mediated signaling is disrupted, as well as physical exercise adaptations. Thus, an understanding the limit between “ROS that can promote beneficial effects” and “ROS that can promote harmful effects” is a challenging question in exercise biology. The identification of new mediators that cause reductive stress and thereby disrupt exercise-stimulated ROS signaling is a trending on this topic and are covered in this current review.