Whether exaggerated blood pressure response (EBPR) to exercise represents a marker of masked hypertension (MH) in individuals with no prior history of hypertension is still unclear. We investigated this issue through a review and a meta-analysis of studies providing data on this association in normotensive individuals undergone both to dynamic or static exercise and to 24 h blood pressure monitoring (ABPM). A systematic search was performed using Pub-Med, OVID, EMBASE, and Cochrane library databases from inception up to 31 December 2022. Studies were identified by using the following search terms: “masked hypertension”, “out-of-office hypertension”, “exercise blood pressure”, “exaggerated blood pressure exercise”, “exercise hypertension”. Nine studies including a total of 387 participants with MH and 406 true normotensive controls were considered. Systolic BP (SBP) and diastolic BP (DBP) at rest were significantly higher in MH individuals than in sustained normotensives: 126.4 ± 1.4/78.5 ± 1.8 versus 124.0 ± 1.4/76.3 ± 1.3 mmHg (SMD: 0.21 ± 0.08, CI: 0.06–0.37, p = 0.007 for SBP; 0.24 ± 0.07, CI: 0.08–0.39, p = 0.002 for DBP). The same was true for BP values at peak exercise: 190.0 ± 9.5/96.8 ± 3.7 versus 173.3 ± 11.0/88.5 ± 1.8 mmHg (SMD 1.02 ± 0.32, CI: 0.39–1.65, p = 0.002 for SBP and 0.97 ± 0.25, CI: 0.47–1.96, p < 0.0001 for DBP). The likelihood of having an EBPR was significantly greater in MH than in their normotensive counterparts (OR: 3.33, CI: 1.83–6.03, p < 0.0001). Our meta-analysis suggests that EBPR reflects an increased risk of MH and that BP measurement during physical exercise aimed to assess cardiovascular health may unmask the presence of MH. This underscores the importance of BP measured in the medical setting at rest and in dynamic conditions in order to identify individuals at high cardiovascular risk due to unrecognized hypertension.