• Physical exercise can exert antitumorigenic effects; however, the molecular mechanisms are still poorly understood. • Single-cell analysis may help to characterize the molecular mechanisms underlying the effects of exercise on anticancer immune function as well as on the complex tumor microenvironment. • Recent research using single-cell analysis provides preliminary insights into the molecular mechanisms behind an improved antitumor immunity in response to exercise. Particularly, there is evidence for a “reprogramming” of several immune effectors towards a higher antitumoral toxicity.