The cumulative stressors of exercise manifest themselves at a cellular level by threatening the protein homeostasis of the cell. In these conditions, Heat Shock Proteins (HSP) are synthesised to chaperone mis-folded and denatured proteins. As such, the intracellular HSP response is thought to aid cell survival in the face of otherwise lethal cellular stress. Recently, the inducible isoform of the 70 Kda heat shock protein family, Hsp72 has been detected in the extracellular environment. Furthermore, the release of this protein into the circulation has been shown to occur in response to a range of exercise bouts. The present review summarises the current research on the exercise Hsp72 response, the possible mediators and mechanisms of extracellular (e)Hsp72 release, and the possible biological significance of this systemic response. In particular, the possible role of eHsp72 in the modulation of immunity during exercise is discussed.