Accumulated data imply that exercise itself might not lead to a true iron deficiency or ‘sport anaemia’ in a healthy athlete who has adequate iron intake. The higher prevalence of iron deficiency anaemia in younger female athletes might be not due to exercise itself, but probably results from dietary choices, inadequate iron intake and menstruation. These factors can also induce iron deficiency or anaemia in the general population. However, exercise does affect iron metabolism, leading to low or sub-optimal iron status. The underlying mechanism is unknown. In this review, recent advances in the study of the effect of exercise on iron metabolism and nitric oxide, and the relationship between nitric oxide and iron status in exercise are discussed. A hypothesis that increased production of nitric oxide might contribute to sub-optimal iron status in exercise is proposed.