The urbanization process resulted in incredible achievements for society, unfortunately together with economic, social, and technological development it deteriorates air quality and encourages sedentary behavior. Air pollution inhalation is responsible for a massive negative health effect. The practice of regular physical exercise is strongly encouraged to achieve a healthy lifestyle. However, particularly during a physical exercise session, the respiratory system undergoes some physiological adaptations that lead to an increase in the volume of inhaled air, so exercising in a polluted environment would consequently augment the number of pollutants inhaled. In this scenario, would it be safer to stay physically inactive? Or to choose an indoor facility to exercise? Or to keep performing outdoor activities once the benefits achieved with exercise will overcome the possible damage caused by additional exposure to air pollution? Currently, these questions still do not have a decisive answer, so we designed a hypothesis to be tested in which exercise would be beneficial regardless of the chosen place. Outdoor and indoor pollution are both equally harmful to health, however, we do not know if it would have a difference to exercise in one of them.