A large body of evidence indicates modified expression of protein-coding genes in response to different kinds of physical activity. Recent years have exposed another level of regulation of cellular processes mediated by non-coding RNAs. MicroRNAs (miRNAs) are one of the largest families of non-coding RNAs. MiRNAs mediate post-transcriptional regulation of gene expression. The amount of data supporting the key role of miRNAs in the adaptation of the immune and other body systems to exercise steadily grows. MiRNAs change their expression profiles after exercise and seem to be involved in regulation of exercise-responsive genes in immune and other cell types. Here we discuss existing data and future directions in the field.