Systemic lupus erythematosus (SLE) is an autoimmune disease characterized by chronic inflammation. This study sought to assess the effects of an exercise training program on cytokines and soluble TNF receptors (sTNFRs) in response to acute exercise in SLE women. Eight SLE women and 10 sex-, age-, and body mass index-comparable healthy controls (HC) participated in this study. Before and after a 12-wk aerobic exercise training program, cytokines and sTNFRs were assessed at rest and in response to single bouts of acute moderate/intense exercise. HC performed the acute exercise bouts only at baseline. After the exercise training program, there was a decrease in resting TNFR2 levels (P = 0.025) and a tend to reduction interleukin (IL)-10 levels (P = 0.093) in SLE. The resting levels of IL-6, IL-10, and TNF-α after the exercise training in SLE reached HC levels (P > 0.05). In response to a single bout of acute moderate exercise, the area under the curve (AUC) of IL-10 was significantly reduced after the exercise training program in SLE (P = 0.043), and the AUC of IL-10, IL-6, TNF-α, and sTNFR1 of SLE approached control values (P > 0.05). In response to a single bout of acute intense exercise, the AUC of IL-10 was significantly reduced in SLE (P = 0.015). Furthermore, the AUC of sTNFR2 tended to decrease after exercise training program in SLE (P = 0.084), but it did not reach control values (P = 0.001). An aerobic exercise training program attenuated the inflammatory milieu in SLE women, revealing a novel homeostatic immunomodulatory role of exercise in an autoimmunity condition.