Persistent systemic inflammation, a typical feature of inflammatory rheumatic diseases, is associated with a high cardiovascular risk and predisposes to metabolic disorders and muscle wasting. These disorders can lead to disability and decreased physical activity, exacerbating inflammation and the development of a network of chronic diseases, thus establishing a 'vicious cycle' of chronic inflammation. During the past two decades, advances in research have shed light on the role of exercise as a therapy for rheumatic diseases. One of the most important of these advances is the discovery that skeletal muscle communicates with other organs by secreting proteins called myokines. Some myokines are thought to induce anti-inflammatory responses with each bout of exercise and mediate long-term exercise-induced improvements in cardiovascular risk factors, having an indirect anti-inflammatory effect. Therefore, contrary to fears that physical activity might aggravate inflammatory pathways, exercise is now believed to be a potential treatment for patients with rheumatic diseases. In this Review, we discuss how exercise disrupts the vicious cycle of chronic inflammation directly, after each bout of exercise, and indirectly, by improving comorbidities and cardiovascular risk factors. We also discuss the mechanisms by which some myokines have anti-inflammatory functions in inflammatory rheumatic diseases.