A constant topic reported in the lay press is the effect of sex hormones on athletic performance and their abuse by athletes in their effort to enhance their performance or to either boost or sidestep their hard, protracted, and demanding training regimens. However, an issue that it is almost never mentioned is that the athletic training itself affects the endogenous production of androgens and estrogens, while also being affected by them. Among sports, soccer is a particularly demanding activity, soccer players needing to possess high levels of endurance, strength, and both aerobic and anaerobic capacity, with the very great physiological, metabolic, physical, and psychological exertion required of the players being both influenced by sex steroids and, reciprocally, affecting sex steroid levels. This review focuses on the currently available knowledge regarding the complex relationship between athletic training and competition and sex steroid hormone adaptation to the demands of the exercise effort. In the first part of the review, we will examine the effects of endogenous testosterone, estrogen, and adrenal androgens on athletic performance both during training and in competition. In the second part, we will explore the reciprocal effects of exercise on the endogenous sex hormones while briefly discussing the recent data on anabolic androgenic steroid abuse.