In humans, exercise training and moderate to high levels of physical activity are protective against cardiovascular disease. In fact they are ∼40% more protective than predicted based on the changes in traditional risk factors (blood lipids, hypertension, diabetes etc.) that they cause. In this review, we highlight the positive effects of exercise on endothelial function and the autonomic nervous system. We also ask if these effects alone, or in combination, might explain the protective effects of exercise against cardiovascular disease that appear to be independent of traditional risk factor modification. Our goal is to use selected data from our own work and that of others to stimulate debate on the nature and cause of the ‘risk factor gap’ associated with exercise and physical activity.