Successful application of cancer immunotherapy has rekindled hope in cancer patients. However, a number of patients are unresponsive to immunotherapy and related treatments. This unresponsiveness in cancer patients toward different treatment regimens can be mainly attributed to severe immune dysfunction in such patients. Several reports indicate that physical exercise can significantly lead to improved cancer patient outcomes. Since exercise gets immense response from the immune system, it can be utilized to improve immune function. Leukocytes with enhanced functions are substantially mobilized into the circulation by a single bout of intense physical exercise. Chronic physical exercise results in greater muscle endurance and strength and improved cardiorespiratory function. This exercise regime is also useful in improving T-cell abundance and reducing dysfunctional T cells. The current available data strongly justify for future clinical trials to investigate physical exercise use as an adjuvant in cancer therapy; however, optimal parameters using exercise for a defined outcome are yet to be established. The components of the immune system associate with almost every tumorigenesis step. The inter-relationship between inflammation, cancer, and innate immunity has recently gained acceptance; however, the underlying cellular and molecular mechanisms behind this relationship are yet to be solved. Several studies suggest physical exercise–mediated induction of immune cells to elicit anti-tumorigenic effects. This indicates the potential of exercising in modulating the behavior of immune cells to inhibit tumor progression. However, further mechanistic details behind physical exercise–driven immunomodulation and anticancer effects have to be determined. This review aims to summarize and discuss the association between physical exercise and immune function modulation and the potential of exercise as an adjuvant therapy in cancer prevention and treatment.