The aim of this review is to update the reader as to the association between physical exercise and melatonin, and to clarify how the melatonin rhythm may be affected by different types of exercise. Exercise may act as a zeitgeber, although the effects of exercise on the human circadian system are only now being explored. Depending on the time of the day, on the intensity of light, and on the proximity of the exercise to the onset or decline of the circadian production of melatonin, the consequence of exercise on the melatonin rhythm varies. Moreover, especially strenuous exercise per se induces an increased oxidative stress that in turn may affect melatonin levels in the peripheral circulation because indole is rapidly used to combat free radical damage. On the other hand, melatonin also may influence physical performance, and thus, there are mutually interactions between exercise and melatonin production which may be beneficial.