This study compared the response of interleukin (IL)-10, and also of IL-6 and IL-12 p40, to exercise and caffeine supplementation between plasma and blood mononuclear cells (BMNCs). Participants in the study (n = 28) were randomly allocated in a double-blind fashion to either caffeine (n = 14) or placebo (n = 14) treatments. One hour before completing a 15-km run competition, athletes took 6 mg/kg body mass of caffeine or a placebo. Plasma and BMNCs were purified from blood samples taken before and after competition. Concentrations of interleukins (IL-10, IL-6, and IL-12 p40), cyclic adenosine monophosphate (cAMP), caffeine, adrenaline, and cortisol were measured in plasma. IL-10, IL-6, and IL-12 p40 and cAMP levels were also determined in BMNCs. Exercise induced significant increases in IL-6 and IL-10 plasma levels, with higher increases in the caffeine-supplemented group. After 2-hr recovery, these levels returned to almost preexercise values. However, no effect of caffeine on BMNC cytokines was observed. IL-10, IL-6, and IL-12 p40 levels in BMNCs increased mainly at 2 hr postexercise. cAMP levels increased postexercise in plasma and after recovery in BMNCs, but no effects of caffeine were observed. In conclusion, caffeine did not modify cytokine levels in BMNCs in response to exercise. However, higher increases of IL-10 were observed in plasma after exercise in the supplemented participants, which could suppose an enhancement of the anti-inflammatory properties of exercise.