Epidemiological evidence suggests a link between the intensity of exercise and infectious and neoplastic disease. One likely way by which exercise exerts its effect on cancer and infection is by altering the function of the immune system. Cells of the innate immune system (i.e., macrophage [Mphi], natural killer [NK] cell, and polymorphonuclear neutrophils [PMN]) are first-line defenders against cancer and infectious disease by nature of their phagocytic, cytolytic, and antimicrobial properties. The purpose of this review is to define the role of cells of the innate immune system (i.e., Mphi, PMN, and NK cells) in infection and cancer, present current information regarding the effects of acute and chronic exercise on the quantification and functional activities of these cells, and briefly to discuss potential mechanisms as to how exercise affects these cells and describe how these changes may potentially affect susceptibility to infection and cancer. The effects of exercise on the number, functions, and characteristics of cells of the innate immune system are complex and are dependent several factors, including 1) the cell function or characteristic being analyzed; 2) the intensity, duration and chronicity of exercise; 3) the timing of measurement in relation to the exercise bout; 4) the dose and type of immunomodulator used to stimulate the cell in vitro or in vivo; and 5) the site of cellular origin. Further studies are needed to determine whether the exercise-induced changes in immune function alter incidence or progression of disease. Likewise, the mechanisms as to how exercise alters innate immune function are as yet unresolved.