The protective face mask (PFM) has been widely used for safety purposes and, after the advent of the COVID-19 pandemic, its use is growing steadily, not only among healthcare personnel but also the general population. While the PFM is important to preserve the wearer from contaminating agents present in the airflow, they are well known to increase the subjective perception of breathing difficulty. Although some studies have demonstrated that PFM use worsens exercise tolerance, several studies state that there is no such limitation with the use of PFM. Moreover, no serious adverse effects during physical exercise have been found in the literature. Physical exercise represents a significant challenge to the human body through a series of integrated changes in function that involve most of its physiologic systems. In this respect, cardiovascular and respiratory systems provide the capacity to sustain physical tasks over extended periods. Within this scenario, both convective oxygen (O2 ) transport (product of arterial O2 content×blood flow) to the working locomotor muscles and O2 diffusive transport from muscle capillaries to mitochondria are of paramount importance to endurance performance. Interestingly, the effects of PFM on cardiorespiratory response during aerobic exercise depends on the type of mask and exercise (i.e., walking, running, or cycling), the ventilatory demands, arterial oxygen levels, maximal oxygen consumption and endurance performance. The purpose of this review is to elucidate the effect of protective face mask-wearing on (1) cardiorespiratory responses during aerobic exercise and (2) endurance performance.