The increased risk of morbidity and mortality among adults and children with pre-existing cardiovascular or respiratory illness from emission-derived particulate matter (PM) is well documented. However, the detrimental effects of PM inhalation on the exercising, healthy population is still in question. This review will focus on the acute and chronic responses to PM inhalation during exercise and how PM exposure influences exercise performance. The smaller ultrafine PM (<0.01 mm aerodynamic diameter) appears to have the most severe health consequences compared with the larger coarse PM (2.5 < PM <10 μm aerodynamic diameter). While the response to PM inhalation may affect those with a pre-existing condition, the healthy population is not immune to the effects of PM inhalation, especially during exercise. This population, including the competitive athlete, is susceptible to pulmonary inflammation, decreased lung function (both acute and chronic in nature), the increased risk of asthma, vascular endothelial dysfunction, mild elevations in pulmonary artery pressure and diminished exercise performance. PM exposure is usually associated with vehicular traffic, but other sources of PM, including small engines from lawn and garden equipment, cigarette smoke, wood smoke and cooking, may also impair health and performance. The physiological effects of PM are dependent on the source of PM, various environmental factors, physical attributes and nature of exercise. There are a number of measures an athlete can take to reduce exposure to PM, as well as the deleterious effects that result from the inevitable exposure to PM. Considering the acute and chronic physiological responses to PM inhalation, individuals living and exercising in urban areas in close proximity to major roadways should consider ambient air pollution levels (in particular, PM and ozone) prior to engaging in vigorous exercise, and those exposed to PM through other sources may need to make lifestyle alterations to avoid the deleterious effects of PM inhalation. Although it is clear that PM exposure is detrimental to healthy individuals engaging in exercise, further research is necessary to better understand the role of PM on athlete health and performance, as well as measures that can attenuate the harmful effects of PM.