Regular exercise and physical activity provide many health benefits and are encouraged by medical professionals for the primary prevention of and adjuvant treatment of breast cancer Current consensus in the discipline of exercise oncology is that both regular physical activity and exercise training exert some protective effect against breast cancer risk, and may reduce morbidity in some advanced cases. While there is growing interest in the role of exercise and physical activity in breast cancer prevention, it is currently unclear how exercise may modulate tumor behavior. The tumor microenvironment is populated by stromal cells such as fibroblasts and adipocytes, as well as macrophages. Termed tumor-associated macrophages (TAMs), these immune cells are highly plastic and respond to different signals from the cancer microenvironment, causing them to either display tumor-promoting or tumor-suppressing phenotypes. Because of such plasticity, there has been considerable interest by immunologists to develop immunotherapies based on skewing the behavior of TAMs to become cancer-suppressive. Previous studies have indirectly shown the ability of exercise training to induce an anti-tumor effect of macrophages, although the studies did not address this in the tumor microenvironment. Nevertheless, this opens up the possibility that regular exercise training may exert a protective innate immune effect against breast cancer, potentially by inducing a cancer-suppressing phenotype of TAMs. This review will describe potential mechanisms through which exercise may modulate the behavior of TAMs.