Regular physical exercise is an established recommendation for preventing and treating the main modifiable cardiovascular risk factors, such as diabetes mellitus, hypertension, and dyslipidemia. Performing physical activity of moderate intensity for a minimum of 30 min 5 days a week or of high intensity for a minimum of 20 min 3 days a week improves functional capacity and is associated with reductions in the incidence of cardiovascular disease and mortality. Physical exercise induces physiological cardiovascular adaptations that improve physical performance, and only in extreme cases can these adaptations lead to an increased risk of physical exercise-associated complications. The incidence of sudden death or serious complications during physical exercise is very low and is concentrated in people with heart diseases or with pathological cardiac adaptation to exercise. Most of these cases can be detected by cardiology units or well-trained professionals.