Brain is an oxyregulator organ, however extremely vulnerable to oxygen. Both high and low oxygen concentrations generate free radicals and may cause oxidative stress and damage because of an insufficient response of the antioxidant system. Hypoxic preconditioning (HP) exerts neuroprotective effects and may be a protecting tool against oxygen fluctuations, thus preventing neuronal damage in events such as ischaemia, acute hypoxia, stroke, or traumatic brain injury, among others. This review aims to discuss the molecular mechanisms involved in the neuroprotective action of HP against oxidative stress and subsequently upon the brain under pro-oxidant conditions. Activation of the antioxidant defences represents the first line to neutralize oxidative stress and is characterized by low reactive oxygen species, reduced oxidative damage biomarkers, and increased level of reduced glutathione. These protective mechanisms decrease cell death activating anti-apoptotic signalling pathways and reducing neuroinflammation by the inactivation of microglia and astroglia cells. HP could be considered a new approach to reduce oxidative stress derived damage caused by a great variety of brain pathologies. Despite our intriguing findings, further experiments are needed for a better understanding of the molecular mechanisms involved in the neuroprotective actions of HP.