Magnesium is an essential element that regulates membrane stability and neuromuscular, cardiovascular, immune, and hormonal functions and is a critical cofactor in many metabolic reactions. The Dietary Reference Intake for magnesium for adults is 310 to 420 mg/day. However, the intake of magnesium in humans is often suboptimal. Magnesium deficiency may lead to changes in gastrointestinal, cardiovascular, and neuromuscular function. Physical exercise may deplete magnesium, which, together with a marginal dietary magnesium intake, may impair energy metabolism efficiency and the capacity for physical work. Magnesium assessment has been a challenge because of the absence of an accurate and convenient assessment method. Recently, magnesium has been touted as an agent for increasing athletic performance. This article reviews the various studies that have been conducted to investigate the relationship of magnesium and exercise.