In the recent years, the importance of sports in everyday life has rapidly increased. Asthma and respiratory allergy are among the most common problems to be afforded in those individuals practising sports and therefore, the diagnostic and therapeutic aspects of allergy in athletes have received in recent times a great interest. The experimental studies performed on allergy and sport have lead to take in consideration a more general aspect, that is the effects of exercise on the immune system. In fact, it has been observed that exercise can induce significant and measurable immunological changes, involving a transient immune suppression (changes in number and activity of neutrophils, lymphocytes, macrophages, and secretion of cytokines). This is probably the reason why athletes seem to be more prone to upper respiratory viral infections. These infections usually appear after exercise discontinuation (within 3 days) particularly in those athletes practising sports which require a long term effort and resistance. The problem is further complicated by the effect of nutrition, since nutrition regimen itself and dietary supplementation were demonstrated able to interfere with the immune response. In the present article we will review the present knowledge and experimental data concerning the effects of sport on immune system and some of the most important clinical implications.