Prospective epidemiological studies have proven a close link between the lipoprotein profile and cardiovascular morbidity and mortality. As physical activity is accepted as a significant factor improving physical fitness and lipoprotein metabolism, there is evidence that physically active men have a lower cardiovascular risk due to their higher metabolic fitness. Physical activity and physical fitness are generally linked to higher HDL cholesterol and lower LDL cholesterol as well as lower triglyceride and insulin levels. However, in cross-sectional studies the differences in lipoprotein cholesterol evaluated by routine measures in healthy physically active individuals and sedentary controls are only minor compared to therapeutical aims. The impact of exercise and training is often more significant when the effect of exercise on lipoprotein subfractions and apolipoprotein levels are taken into account. Dramatic differences can be documented in concentrations of cardioprotective HDL subset2 and atherogenic small, dense LDL subset6 levels in relation to the individual status of aerobic fitness and body composition in adults. These observations indicate that the preventive and therapeutical use of physical activity is of particular significance in a population of cardiovascular risk or patients with reduced daily activity. Our own experience in clinical trials shows that even in short-term programs (4 weeks to 6 months) changes in activity and eating behavior may lead to important improvements of the metabolic risk and lipid profile. Understanding the complex interaction between exercise and metabolic control of the lipid profile as well as the correlation with other risk parameters will improve the knowledge of prescribing exercise programs in patients at risk.