High levels of inflammatory mediators are associated with reduced physical capabilities and muscle function in the elderly. Single nucleotide polymorphisms (SNPs) may affect the expression and synthesis of these molecules, thus influencing the intensity of the inflammatory response and susceptibility to certain diseases. Physical exercise may attenuate age-related chronic inflammation and improve physical performance. This study evaluated the interaction between the SNP rs1800629 in TNF-α, rs1800795 in IL6, and rs1800896 in IL10 and the effect of physical exercise on physical performance and inflammation in elderly women. There was a significant interaction between rs1800629 and the effect of exercise on physical performance and between the combined 3-SNP genotype and changes in physical performance in response to exercise. These SNPs did not influence the effect of exercise on inflammatory parameters. Elderly women with a combination of genotypes associated with an anti-inflammatory profile (low TNF-α and IL-6 production, high IL-10 production) showed better physical performance independent of exercise modality, evidence of an interactive influence of genetic and environmental factors on improving physical performance in elderly women.