There is overwhelming evidence that regular exercise training is protective against cardiovascular disease (CVD), the main cause of death worldwide. Despite the benefits of exercise, the intricacies of their underlying molecular mechanisms remain largely unknown. Non-coding RNAs (ncRNAs) have been recognized as a major regulatory network governing gene expression in several physiological processes and appeared as pivotal modulators in a myriad of cardiovascular processes under physiological and pathological conditions. However, little is known about ncRNA expression and role in response to exercise. Revealing the molecular components and mechanisms of the link between exercise and health outcomes will catalyse discoveries of new biomarkers and therapeutic targets. Here we review the current understanding of the ncRNA role in exercise-induced adaptations focused on the cardiovascular system and address their potential role in clinical applications for CVD. Finally, considerations and perspectives for future studies will be proposed.