Background: Physical inactivity is typical of the Western lifestyle. Therefore, an increase in the diseases of modern civilization has been observed. But with the help of sports, health can be improved. Method: The literature was analysed to compare the benefits and risks of sport activities. The different kinds of sports and the intensity of training are discussed. Results: The risk-benefit analysis shows that taking part in sports is favourable for health. However, high-performance and extreme sports have a high health hazard. Inexperienced recreational athletes with poor fitness, coordination problems, and an overestimation of one's abilities have a high risk of injuring themselves. Ball games are riskier than jogging, swimming, or hiking, but team sports are better for motivation. A good alternative to ball games are running groups whose members have a common aim, such as finishing a marathon; they train steadily with good motivation for a long time. In addition, some measures can minimise the health risks in sports: a preventive medical check-up, continuous training, moderate increases in training intensity, caution in the event of fatigue, and avoidance of excessive ambition. Athletes who follow these rules and who also prefer endurance sports have an excellent benefit-risk ratio. Conclusion: Physical activity is good for health, and the risk of sports injuries can be minimised. Moderate training in an endurance sport has the best benefit-risk ratio.