Heart rate variability (HRV) is a relevant marker reflecting cardiac modulation by sympathetic and vagal components of the autonomic nervous system (ANS). Although the clinical application of HRV is mainly associated with the prediction of sudden cardiac death and assessing cardiovascular and metabolic illness progression, recent observations have suggested its applicability to physical exercise training. HRV is becoming one of the most useful tools for tracking the time course of training adaptation/maladaptation of athletes and in setting the optimal training loads leading to improved performances. However, little is known regarding the role of HRV and the internal effects of physical exercise on an athlete, which may be useful in designing fitness programs ensuring sufficient training load that may correspond with the specific ability of the athlete. In this review, we offer a comprehensive assessment of investigations concerning the interrelation between HRV and ANS, and examine how the application of HRV to physical exercise may play a role in sports physiology.