Public health campaigns promote regular exercise and physical activity. These campaigns are founded on global recommendations that a combination of aerobic and resistance exercise is required, on a weekly basis, to maximise physical and mental health. However, participation in all forms of sports and physical activity has inherent risks that need to be considered by both health practitioners making activity recommendations and the people participating. This review examines biological, psychological and social benefits and harms of the three highest participation physical activities: walking/running, multidirectional sports and resistance exercise. While the remaining evidence indicates that the positives do outweigh the negatives, it demonstrates that moderate amounts of exercise provide the most optimal balance and that potential harms are typically associated with low or high participation.