Exercise increases the generation of reactive oxygen and nitrogen species (RONS), and by causing adaptations could decrease the incidence of RONS-associated diseases. A single bout of exercise, depending upon intensity and duration, can cause an increase in antioxidant enzyme activity, decrease levels of thiols and antioxidant vitamins, and result in oxidative damage as a sign of incomplete adaptation. Increased levels of RONS and oxidative damage are initiators of a specific adaptive response, the stimulation of the activation of antioxidant enzymes, thiols and enhanced oxidative damage repair. Regular exercise has the capability of developing compensation to oxidative stress, resulting in overcompensation against the increased level of RONS production and oxidative damage. Regular exercise also causes adaptation of the antioxidant and repair systems, which could result in a decreased base level of oxidative damage and increased resistance to oxidative stress. In this paper we extend the hormesis theory to include RONS on the list of potential causes of adaptation, and we further suggest that the preventive effect of regular exercise is partly based on the RONS generating capability of exercise, which is in the stimulating range of RONS production. Therefore, it is suggested that exercise-induced changes in the redox milieu, signaling pathways, induction of antioxidants, DNA repair, and protein degrading enzymes are the consequences of ROS production and are involved in the adaptation process, resulting in decreases in the incidence of oxidative stress-related diseases and retardation of the aging process.