Regular exercise reduces the risk of chronic metabolic and cardiorespiratory diseases, in part because exercise exerts anti-inflammatory effects. However, these effects are also likely to be responsible for the suppressed immunity that makes elite athletes more susceptible to infections. The anti-inflammatory effects of regular exercise may be mediated via both a reduction in visceral fat mass (with a subsequent decreased release of adipokines) and the induction of an anti-inflammatory environment with each bout of exercise. In this Review, we focus on the known mechanisms by which exercise — both acute and chronic — exerts its anti-inflammatory effects, and we discuss the implications of these effects for the prevention and treatment of disease.