Epidemiological evidence indicates that regular physical activity and/or frequent structured exercise reduces the incidence of many chronic diseases in older age, including communicable diseases such as viral and bacterial infections, as well as non-communicable diseases such as cancer and chronic inflammatory disorders. Despite the apparent health benefits achieved by leading an active lifestyle, which imply that regular physical activity and frequent exercise enhance immune competency and regulation, the effect of a single bout of exercise on immune function remains a controversial topic. Indeed, to this day, it is perceived by many that a vigorous bout of exercise can temporarily suppress immune function. In the first part of this review, we deconstruct the key pillars which lay the foundation to this theory—referred to as the “open window” hypothesis—and highlight that: (i) limited reliable evidence exists to support the claim that vigorous exercise heightens risk of opportunistic infections; (ii) purported changes to mucosal immunity, namely salivary IgA levels, after exercise do not signpost a period of immune suppression; and (iii) the dramatic reductions to lymphocyte numbers and function 1–2 h after exercise reflects a transient and time-dependent redistribution of immune cells to peripheral tissues, resulting in a heightened state of immune surveillance and immune regulation, as opposed to immune suppression. In the second part of this review, we provide evidence that frequent exercise enhances—rather than suppresses—immune competency, and highlight key findings from human vaccination studies which show heightened responses to bacterial and viral antigens following bouts of exercise. Finally, in the third part of this review, we highlight that regular physical activity and frequent exercise might limit or delay aging of the immune system, providing further evidence that exercise is beneficial for immunological health. In summary, the over-arching aim of this review is to rebalance opinion over the perceived relationships between exercise and immune function. We emphasize that it is a misconception to label any form of acute exercise as immunosuppressive, and, instead, exercise most likely improves immune competency across the lifespan.