Exercise is increasingly recognized as important to cancer care. The biology of how exercise improves outcomes is not well understood, however. Studies show that exercise favorably influences the immune system in healthy individuals (neutrophils, monocytes, natural killer cells, T cells, and a number of cytokines). Thus, exercise in patients with hematologic cancer could significantly improve immune function and tumor microenvironment. We performed a literature search and identified 7 studies examining exercise and the immune environment in hematologic malignancies. This review focuses on the role of exercise and physical activity on the immune system in hematologic malignancies and healthy adults.