With the discovery of microRNAs (miRNAs), an exceptional means of regulating gene expression was introduced a few years ago. MiRNAs function to inactivate specific messenger RNA transcripts leading to depletion of the corresponding protein, whereby computational studies have shown that about one third of all animal genes might be miRNA targets. Recent publications highlight the involvement of miRNAs in regulating the immune response. The aim of this review is to provide an overview of miRNA biogenesis and function, to illustrate their impact on both the innate as well as the adaptive immune system, to show the regulation of skeletal muscle plasticity and inflammation, and finally to present their possible role within the field of exercise immunology.