This study describes the relationship between physical activity and intake of trihalomethanes (THMs), namely chloroform (CHCl3), bromodichloromethane (CHCl2Br), dibromochloromethane (CHClBr2) and bromoform (CHBr3), in individuals exposed in two indoor swimming pools which used different disinfection agents, chlorine (Cl-SP) and bromine (Br-SP). CHCl3 and CHBr3 were the dominant compounds in air and water of the Cl-SP and Br-SP, respectively. Physical exercise was assessed from distance swum and energy expenditure. The changes in exhaled breath concentrations of these compounds were measured from the differences after and before physical activity. A clear dependence between distance swum or energy expenditure and exhaled breath THM concentrations was observed. The statistically significant relationships involved higher THM concentrations at higher distances swum. However, air concentration was the major factor determining the CHCl3 and CHCl2Br intake in swimmers whereas distance swum was the main factor for CHBr3 intake. These two causes of THM incorporation into swimmers concurrently intensify the concentrations of these compounds into exhaled breath and pointed to inhalation as primary mechanism for THM uptake. Furthermore, the rates of THM incorporation were proportionally higher as higher was the degree of bromination of the THM species. This trend suggested that air–water partition mechanisms in the pulmonary system determined higher retention of the THM compounds with lower Henry’s Law volatility constants than those of higher constant values. Inhalation is therefore the primary mechanisms for THM exposure of swimmers in indoor buildings.