Physical exercise is frequently performed by cancer patients during or after multiple chemotherapy and radiation cycle and has been reported to improve not only physical function, but also health-related quality of life such as fatigue, sleep disturbance, and loss of appetite in such patients. In recent years, there have been increasing reports that regular exercise prolongs overall survival and reduces the risk of recurrence in cancer patients. The biological mechanisms of these improvements are thought to involve immune function to a large extent. In particular, physical exercise activates immune cells such as natural killer cells and suppresses tumor necrosis factor by secreting anti-inflammatory cytokines. Long-term moderate exercise may be most effective in terms of cell activation and suppression of tumor necrosis factor. This chapter explains the effects of physical exercise on immune function in cancer patients using recently published papers and discusses the importance of physical exercise.