Melatonin possesses the indoleamine structure and exerts antioxidant and anti-inflammatory actions and other physiological properties. Physical exercise can influence secretion of melatonin. Melatonin is used as a natural supplement among athletes to regulate sleep cycles and protect muscles against oxidative damage. Despite decades of research, there is still a lack of a comprehensive and critical review on melatonin supplementation and physical activity relationship. The aim of this literature review is to examine the antioxidant, anti-inflammatory and other biological functions played by melatonin with reference to the effect of physical exercise on melatonin secretion and the effect of this compound supplementation on exercise-induced oxidative stress in athletes. Evidence shows that intense exercises disturb antioxidant status of competitive athletes, whereas supplementation with melatonin strengthens antioxidant status in trained athletes in various sports as the compound showed high potency in reduction of the oxidative stress and inflammation markers generated during intense and prolonged exercise.