Pharmacologic manipulation of the immune system is emerging as a viable and robust treatment for some cancer patients. Exercise-induced modulation of the immune system may be another adjunctive strategy for inhibiting tumor initiation and progression. In healthy individuals, exercise has been shown to modulate a number of cell subsets involved in innate and adaptive immunity. Here, we provide an overview of the current state of knowledge pertaining to exercise modulation of the inflammation-immune axis in cancer. The current evidence suggests that exercise may be a promising adjunctive strategy that can favorably alter numerous components of the immune system, which, in turn, may modulate tumorigenesis. However, many important knowledge gaps are evident. To this end, we propose a framework to guide future research efforts investigating the immune effects of exercise in cancer.