Atherosclerosis is a dynamic process driven by all cardiovascular risk factors that can be briefly divided into an early and a late phase. Inflammation is one of the fundamental substrates that initiates the atherosclerotic process in the early stages and promotes and maintains it in the final stages. In the last decades, clinical and experimental data have shown that inflammation is supported by mediators that respond to physical activity. The present review aimed at investigating the effect of physical exercise on inflammatory mediators, both the positive ones that have a proinflammatory effect (interleukin 6, c-reactive protein and tumor necrosis factor α, interferon γ, high-mobility group box-1), and the negative ones which have an anti-inflammatory effect (interleukin 10). Pooled data support the evidence that physical exercise can directly modulate the activity of inflammatory cytokines slowing down or preventing the formation of the atherosclerotic stage.