Regular physical exercise was found to be associated with an improved immune response in previous studies. RANTES and CD40L play a pivotal role in host defense, and individuals lacking adequate expression are prone to virus and opportunistic infections. A total of 98 participants were enrolled in this study. The probands were asked to perform moderate physical activity, and bicycle stress tests were performed at the baseline and after 8 months of training to evaluate individual performance. RANTES and CD40L were found to be increased by long-term physical exercise. In particular, probands with a performance gain of ≥3% displayed a pronounced elevation of both markers, paired with a decrease in circulating IL6 levels and an improved lipid profile. In summary, we were able to highlight rising levels of serum RANTES and CD40L under the conditions of physical exercise. Taking their role in host defense into account, a conjunction of physical activity and the adaptive immune system could therefore be assumed. Furthermore, low inflammatory profiles in probands with a significant performance gain suggest a modulation through exercise rather than a generalized pro-inflammatory status.