Physical activity is important for people of all ages as it plays a significant role in maintaining overall health, including enhancing the immune system. This review study aims to investigate how physical exercise can have an impact on the immunological response among adolescents. The study performed a literature search in the Medline through EBSCO, Cochrane Library, Scopus and PUBMED database in December 2023. This review included English-language scientific articles published between 1st January 2010 and 31st January 2024, empirical research exclusively and studies on healthy adolescents. The review was conducted according to the PRISMA principles (PRISMA-ScR) and scoping studies’ methodological framework. The results of the scoping search through the above-selected databases showed that there were 1887 articles. During the full-text review, 134 papers were initially included. Ultimately, only 12 articles were included in the final review, with 122 excluded for not meeting the inclusion criteria. These studies collectively suggested that regular exercise can have significant positive effects on various aspects of the immune system in adolescents, such as reducing inflammation and increasing anti-inflammatory cytokines. Improvements in physical fitness and body composition were also noted, especially with long-term interventions. Some studies showed that exercise can influence immune responses, potentially reducing infection risk. However, exercise intensity and duration played crucial roles in determining the extent of immunological and inflammatory responses. Future studies should integrate consistent aerobic and strength training, while also ensuring that physical activities are pleasurable and varied to foster sustained participation among teenagers.