An increasing number of studies have examined how the immune system of patients with Chronic Fatigue Syndrome (CFS), or myalgic encephalomyelitis, responds to exercise. The objective of the present study was to systematically review the scientific literature addressing exercise-induced immunological changes in CFS patients compared to healthy control subjects. A systematic literature search was conducted in the PubMed and Web of science databases using different keyword combinations. We included 23 case control studies that examined whether CFS patients, compared to healthy sedentary controls, have a different immune response to exercise. The included articles were evaluated on their methodological quality. Compared to the normal response of the immune system to exercise as seen in healthy subjects, patients with CFS have a more pronounced response in the complement system (i.e. C4a split product levels), oxidative stress system (i.e. enhanced oxidative stress combined with a delayed and reduced anti-oxidant response), and an alteration in the immune cells' gene expression profile (increases in post-exercise interleukin-10 and toll-like receptor 4 gene expression), but not in circulating pro- or anti-inflammatory cytokines. Many of these immune changes relate to post-exertional malaise in CFS, a major characteristic of the illness. The literature review provides level B evidence for an altered immune response to exercise in patients with CFS.