Exercise initiates a cascade of inflammatory events, which ultimately lead to long-term effects on human health. During and after acute exercise in skeletal muscle, interactions between immune cells, cytokines, and other intracellular components, create an inflammatory milieu responsible for the recovery and adaption from an exercise bout. In the systemic circulation, cytokines released from muscle (myokines) mediate metabolic and inflammatory processes. Moderate exercise training results in improvements in systemic inflammation, evident by reductions in acute phase proteins. The anti-inflammatory effects of regular exercise include actions dependent and independent of changes in adipose tissue mass. Future research should encompass approaches, which attempt to integrate other, less-recognized physiological processes with acute and long-term inflammatory changes. This will include investigation into metabolic, endocrine, and immune components of various tissues and organs.