Regular exercise is protective against several chronic diseases ranging from physiologic diseases such as cardiovascular disease to neurologic diseases such as dementia and depression. Exciting recent research points to chronic inflammation as an underlying contributor to many age-related chronic diseases. Cross-sectional and longitudinal studies in animals and humans have shown both an acute and a chronic anti-inflammatory effect. Because innate immunity is a key regulator of inflammatory processes, and chronic inflammation contributes to many illnesses, the effect of regular exercise on innate immunity, most importantly macrophages, holds much promise in terms of defining these mechanisms. Unfortunately, the mechanisms responsible for the observed anti-inflammatory effect of regular exercise have not been elucidated. This article presents several compelling potential mechanisms for the anti-inflammatory effect of exercise, including loss of body fat, reductions in macrophage accumulation in adipose tissue, altered macrophage phenotype in adipose tissue, exercise-induced muscle production of IL-6, or alterations in the balance between the sympathetic and parasympathetic nervous systems. Further investigation to confirm or reject these testable hypotheses will allow better application of exercise therapy to treat and prevent illnesses associated with chronic inflammation.