Natural killer (NK) cells are the most responsive immune cells to exercise, displaying an acute mobilization to the circulation during physical exertion. Recently, exercise-dependent mobilization of NK cells was found to play a central role in exercise-mediated protection against cancer. Here, we review the link between exercise and NK cell function, focusing on circulating exercise factors and additional effects, including vascularization, hypoxia, and body temperature in mediating the effects on NK cell functionality. Exercise-dependent mobilization and activation of NK cells provides a mechanistic explanation for the protective effect of exercise on cancer, and we propose that exercise represents a potential strategy as adjuvant therapy in cancer, by improving NK cell recruitment and infiltration in solid tumors.