Most human phenotypes are influenced by a combination of genomic and environmental factors. Engaging in regular physical exercise prevents many chronic diseases, decreases mortality risk and increases longevity. However, the mechanisms involved are poorly understood. The modulating effect of physical (aerobic and resistance) exercise on gene expression has been known for some time now and has provided us with an understanding of the biological responses to physical exercise. Emerging research data suggest that epigenetic modifications are extremely important for both development and disease in humans. In the current review, we summarise findings on the effect of exercise on epigenetic modifications and their effects on gene expression. Current research data suggest epigenetic modifications (DNA methylation and histone acetylation) and microRNAs (miRNAs) are responsive to acute aerobic and resistance exercise in brain, blood, skeletal and cardiac muscle, adipose tissue and even buccal cells. Six months of aerobic exercise alters whole-genome DNA methylation in skeletal muscle and adipose tissue and directly influences lipogenesis. Some miRNAs are related to maximal oxygen consumption (VO2max) and VO2max trainability, and are differentially expressed amongst individuals with high and low VO2max. Remarkably, miRNA expression profiles discriminate between low and high responders to resistance exercise (miR-378, -26a, -29a and -451) and correlate to gains in lean body mass (miR-378). The emerging field of exercise epigenomics is expected to prosper and additional studies may elucidate the clinical relevance of miRNAs and epigenetic modifications, and delineate mechanisms by which exercise confers a healthier phenotype and improves performance.