Physical exercise represents an effective preventive and therapeutic strategy beneficially modifying the course of multiple diseases. The protective mechanisms of exercise are manifold; primarily, they are elicited by alterations in metabolic and inflammatory pathways. Exercise intensity and duration strongly influence the provoked response. This narrative review aims to provide comprehensive up-to-date insights into the beneficial effects of physical exercise by illustrating the impact of moderate and vigorous exercise on innate and adaptive immunity. Specifically, we describe qualitative and quantitative changes in different leukocyte subsets while distinguishing between acute and chronic exercise effects. Further, we elaborate on how exercise modifies the progression of atherosclerosis, the leading cause of death worldwide, representing a prime example of a disease triggered by metabolic and inflammatory pathways. Here, we describe how exercise counteracts causal contributors and thereby improves outcomes. In addition, we identify gaps that still need to be addressed in the future.