Beneficial effect of regular moderate physical exercise (PE) and negative effect of severe exercise and/or overtraining as an activator of the sympathetic nervous system (SNS) have been shown in numerous aspects of human health, including reduced risk of cardiovascular disease, neurological disease, depression, and some types of cancer. Moderate-to-vigorous PE stimulates the SNS activation, releasing catecholamines (CATs) adrenaline, noradrenaline, dopamine that play an important regulatory and modulatory actions by affecting metabolic processes and the immune system. Summary of the dispersed literature in this area and explanation of the biological mechanisms operating between PE-CATs and the immune system would lead to a better understanding of the beneficial and negative effects of PE on health. This overview aimed to: demonstrate representative literature findings on the exercise released CATs levels, major functions performed by these hormones, their interactions with the immune system and their effects on carbohydrate and lipid metabolism. Also, mechanisms of cytotoxic free radicals and reactive oxygen species (ROS) generation during CATs oxidation, and molecular mechanisms of CATs response to exercise are discussed to demonstrate positive and negative on human health effects. Owing to the large body of the subject literature, we present a representative cross-section of the published studies in this area. The results show a significant role of CATs in carbohydrate and lipid metabolism, immunity and as generators of ROS, depending on PE intensity and duration. Further investigation of the PE-CATs relationship should validate CATs levels to optimize safe intensity and duration of exercise and individualize their prescription, considering CATs to be applied as markers for a dose of exercise. Also, a better understanding of the biological mechanisms is also needed.