Acute physical exercise can modulate immune function. For example, acute exercise is known to increase the circulating concentration of cytokines. Exercise is also known to modulate immune function chronically. It is not known whether exercise training can result in training of the immune system. Here, we investigated the effects of six weeks of aerobic training on cytokine responses induced by acute exercise until fatigue. Twelve healthy men performed a fatiguing exercise at the anaerobic threshold (AT) intensity. After the training period, the participants performed another bout of acute exercise at the same duration and intensity of the pretraining situation. The analysis was made at the beginning, end, and at 10, 30, and 60 minutes during the recovery period. Training at AT induced a gain of 11.2% of exercise capacity. Before training, a single bout of acute exercise induced a significant increase in plasma levels of cytokines, including IL-6, TNF-α, sTNFR1, IL-10, CXCL10, BDNF, leptin, resistin, and adiponectin. After six weeks of aerobic training, levels of IL-6, sTNFR1, BDNF, and leptin increased to a lesser extent after an acute bout exercise at the same absolute intensity as the pretraining period. Responses to the same relative exercise intensity were similar to those observed before exercise. These results show that aerobic training is associated with training of acute immune responses to acute exercise until fatigue.