It is well established that physical exercise modulates the function of many physiological systems, such as the musculoskeletal, the cardiovascular and the nervous system, by inducing various adaptations to the increased mechanical load and/or metabolic stress of exercise. Many of these changes occur through epigenetic alterations to DNA, such as histone modifications, DNA methylations, expression of microRNAs and changes of the chromatin structure. All these epigenetic alterations may have clinical relevance, thus playing an important role in the prevention and confrontation of neurophysiological disorders, metabolic syndrome, cardiovascular diseases and cancer. Herein we review the known epigenetic modifications induced by physical exercise in various physiological systems and pathologies, and discuss their potential clinical implications.