Recent advances in clinical oncology is based on exploiting the capacity of the immune system to combat cancer: immuno-oncology. Thus, immunotherapy of cancer is now used to treat a variety of malignant diseases. A striking feature is that even patients with late-stage disease may experience curative responses. However, most patients still succumb to disease, and do not benefit from treatment. Exercise has gained attention in clinical oncology and has been used for many years to improve quality of life, as well as to counteract chemotherapy-related complications. However, more recently, exercise has garnered interest, largely due to data from animal studies suggesting a striking therapeutic effect in preclinical cancer models; an effect largely mediated by the immune system. In humans, physical activity is associated with a lower risk for a variety of malignancies, and some data suggest a positive clinical effect for cancer patients. Exercise leads to mobilization of cells of the immune system, resulting in redistribution to different body compartments, and in preclinical models, exercise has been shown to lead to immunological changes in the tumor microenvironment. This suggests that exercise and immunotherapy could have a synergistic effect if combined.