Introduction: Over the last century, people have become less active, adopting more sedentary habits. This scenario has increased the incidence of chronic diseases such as cardiovascular diseases, type 2 diabetes and metabolic syndrome. The practice of physical activities can influence healthiness by altering the metabolic state and also the immune system. Objective: To review the literature for studies that address the effects promoted by physical exercise on the development of immune responses and the possible signal transduction pathways. Methods: The SciELO and PubMed data bases were consulted. Results: The available literature shows that during the practice of exercise, various subpopulations of leukocytes are altered in accordance with the intensity and duration of the activity performed. Exercise of moderate intensity stimulates a pro-inflammatory response, while those of high intensity tend to promote antiinflammatory responses that could decrease damage to skeletal muscle. Such alterations are observed in cells that present antigens (such as macrophages and dendritic cells), neutrophils, natural killer cells (NK) and in surface molecules like Toll-like receptors (TLR) and major histocompatibility complex class II, as well as the entire repertoire of cytokines. Conclusion: The current state of knowledge suggests that the alterations in the immune system are dependent on parameters inherent to exercise and that in order to have all these alterations occurring, some cell signaling cascades are activated, giving rise to a complex process of phosphorylation/dephosphorylation that culminates in the activation of transcription factors, translation of mRNA's, protein synthesis and cell proliferation.