There is growing clinical and epidemiological evidence supporting the concept that regular exercise training reduces the incidence of coronary events and increases the chance of survival after myocardial infarction. This protection is achieved through the reduction of many risk factors relating to cardiovascular disease, such as high blood pressure, high cholesterol, obesity etc. Moreover, exercise has been found capable of reproducing the phenomenon known as ischemic preconditioning (IP). This term identifies the capacity of short periods of ischemia to render the myocardium more resistant to a subsequent ischemic insult. Classically, the IP phenomenon refers to the ability to limit the infarct size. However, IP is a complex phenomenon which, along with infarct size reduction, can also provide protection against ischemia- and reperfusion-induced arrhythmia and myocardial stunning. There are several indications demonstrating that exercise may directly induce preconditioning, thus putting the heart in a protection status without the need for a prior ischemia. It appears that exercise acts as a physiological stress that induces beneficial myocardial adaptive responses at cellular level. The purpose of the present paper is to review the latest data on the role played by exercise in inducing myocardial preconditioning.