Oxidative damage to lipoproteins, in particular low density lipoprotein (LDL), is known to play a role in a number of diseases associated with ageing such as cardiovascular disease, atherosclerosis, arthritis, dementia and the metabolic syndrome. Physical activity or exercise can alter the balance of oxidative and anti-oxidative species within the human body. A number of studies have assessed the effect of exercise training or a single exercise bout on plasma lipid oxidation or nitration, protein oxidation and circulating lipoprotein oxidation, but results are extremely mixed and the message arising from current literature in regard to exercise and its effect upon the oxidative status of lipoproteins is somewhat confusing. This review aims to summarise the studies investigating the effect of exercise on lipoprotein oxidation and nitration, and highlight areas in need of future research.