Sleep and exercise influence each other through complex, bilateral interactions that involve multiple physiological and psychological pathways. Physical activity is usually considered as beneficial in aiding sleep although this link may be subject to multiple moderating factors such as sex, age, fitness level, sleep quality and the characteristics of the exercise (intensity, duration, time of day, environment). It is therefore vital to improve knowledge in fundamental physiology in order to understand the benefits of exercise on the quantity and quality of sleep in healthy subjects and patients. Conversely, sleep disturbances could also impair a person's cognitive performance or their capacity for exercise and increase the risk of exercise-induced injuries either during extreme and/or prolonged exercise or during team sports. This review aims to describe the reciprocal fundamental physiological effects linking sleep and exercise in order to improve the pertinent use of exercise in sleep medicine and prevent sleep disorders in sportsmen.