(1) Background: An unhealthy lifestyle is a significant contributor to the development of chronic diseases. Physical activity can benefit primary and secondary prevention. Higher DNase activity is associated with favourable outcomes after cardiovascular (CV) events. In this study, we aimed to investigate the influence of consequent endurance exercise on DNase activity. (2) Methods: 98 subjects with at least one CV risk factor but the physical ability to perform endurance training were included. Individuals performed a bicycle stress test at the beginning and after 8 months to assess physical performance. In between, all participants were instructed to engage in guideline-directed physical activity. Blood samples were drawn in two-month intervals to assess routine laboratory parameters, cell-free DNA (cfDNA), and DNase activity. (3) Results: Prevailing CV risk factors were overweight (65.9%), a positive family history (44.9%), hypertension (32.7%) and smoking (20.4%). Performance changed by 7.8 ± 9.1% after 8 months. Comparison of baseline to 8 months revealed a decrease in cfDNA and an increase in DNase activity. This effect was driven by participants who achieved a performance gain. (4) Conclusions: Regular physical activity might improve CV health by increasing DNase activity and thereby, the capacity to lower pro-inflammatory signalling, complementing measures of primary and secondary prevention.