Engaging in regular physical activity reduces the risk of developing CVD (cardiovascular disease), but it is not certain to what degree this may be due to the anti-inflammatory effects of exercise. Following acute exercise, there is a transient increase in circulating levels of anti-inflammatory cytokines, whereas chronic exercise reduces basal levels of pro-inflammatory cytokines. Exercise training also induces the expression of antioxidant and anti-inflammatory mediators in the vascular wall that may directly inhibit the development of atherosclerosis. Limited studies in humans and more comprehensive assessments in animal models have confirmed that exercise is atheroprotective and helped identify a number of the mechanisms to explain these effects. This review explores the relationship between systemic and vascular wall inflammation and the role that the anti-inflammatory effects of exercise have on the development and progression of CVD.