Background: Persistent inflammation is involved in the pathogenesis of chronic diseases such as type 2 diabetes mellitus (T2DM) and cardiovascular disease (CVD). Aims: The aim of this review was to provide the reader with an update of the mechanisms whereby exercise-induced cytokines may impact cardiometabolic diseases. Results: Evidence exists that interleukin (IL)-1β is involved in pancreatic β-cell damage, whereas TNF-α is a key molecule in peripheral insulin resistance. In addition, TNF-α appears to be involved in the pathogenesis of atherosclerosis and heart failure. A marked increase in IL-6 and IL-10 is provoked by exercise and exerts direct anti-inflammatory effects by an inhibition of TNF-α and by stimulating IL-1ra, thereby limiting IL-1β signalling. Moreover, muscle-derived IL-6 appears to have direct anti-inflammatory effects and serves as a mechanism to improve glucose tolerance. In addition, indirect anti-inflammatory effects of long-term exercise are mediated via improvements in body composition. Conclusion: Physical activity represents a natural, strong anti-inflammatory strategy with minor side effects and should be integrated in the management of patients with cardiometabolic diseases.