This systematic integrative review aims to summarize the protective effect of PA on children and adolescents, with special reference to the immune system. Periods of prolonged inactivity in children and adolescents are rare and due to exceptional events, such as illness or environmental circumstances, e.g., natural disasters, wars, or epidemics. The recent COVID-19 pandemic forced billions of children in developmental ages into inactivity. This exceptional event was the reason for studying the compensational behavioral strategies adopted by children and adolescents to counteract physical inactivity. Several studies showed the rise of spontaneous physical activity (PA) among children and adolescents to compensate for sedentarism. However, for some children, sedentarism could in turn foster other sedentarism. With the restart of “normal daily life” worldwide, a question is posed on both how to resume PA without causing damage and how to improve the immune response. Some key points emerged from the literature. Children must resume PA gradually using different methods, considering age, sex, health status, and the presence of overweight conditions. Immunity can be stimulated with PA by aerobic exercise, resistance training, flexibility exercise, relaxation, and coordinative exercises.