High levels of reactive oxygen species (ROS) produced in skeletal muscle during exercise have been associated with muscle damage and impaired muscle function. Supporting endogenous defence systems with additional oral doses of antioxidants has received much attention as a noninvasive strategy to prevent or reduce oxidative stress, decrease muscle damage and improve exercise performance. Over 150 articles have been published on this topic, with almost all of these being small-scale, low-quality studies. The consistent finding is that antioxidant supplementation attenuates exercise-induced oxidative stress. However, any physiological implications of this have yet to be consistently demonstrated, with most studies reporting no effects on exercise-induced muscle damage and performance. Moreover, a growing body of evidence indicates detrimental effects of antioxidant supplementation on the health and performance benefits of exercise training. Indeed, although ROS are associated with harmful biological events, they are also essential to the development and optimal function of every cell. The aim of this review is to present and discuss 23 studies that have shown that antioxidant supplementation interferes with exercise training-induced adaptations. The main findings of these studies are that, in certain situations, loading the cell with high doses of antioxidants leads to a blunting of the positive effects of exercise training and interferes with important ROS-mediated physiological processes, such as vasodilation and insulin signalling. More research is needed to produce evidence-based guidelines regarding the use of antioxidant supplementation during exercise training. We recommend that an adequate intake of vitamins and minerals through a varied and balanced diet remains the best approach to maintain the optimal antioxidant status in exercising individuals.