Physical activity and sports play major roles in the overall health status of humans. It is well known that regular exercise helps to lower the risk for a broad variety of health problems, such as cardiovascular disease, type 2 diabetes, and cancer. Being physically active induces a wide variety of molecular adaptations, for example fiber type switches or other metabolic alterations, in skeletal muscle tissue. These adaptations are based on exercise-induced changes to the skeletal muscle transcriptome. Understanding their nature is crucial to improve the development of exercise-based therapeutic strategies. Recent research indicates that specifically epigenetic mechanisms, i.e., pathways that induce changes in gene expression patterns without altering the DNA base sequence, might play a major role in controlling skeletal muscle transcriptional patterns. Epigenetic mechanisms include DNA and histone modifications, as well as expression of specific microRNAs. They can be modulated by environmental factors or external stimuli, such as exercise, and eventually induce specific and fine-tuned changes to the transcriptional response. In this review, we highlight current knowledge on epigenetic changes induced in exercising skeletal muscle, their target genes, and resulting phenotypic changes. In addition, we raise the question of whether epigenetic modifications might serve as markers for the design and management of optimized and individualized training protocols, as prognostic tools to predict training adaptation, or even as targets for the design of "exercise mimics".