Type 2 diabetes mellitus (T2DM) is associated with metabolic dysregulation and chronic inflammation, and regular exercise may provide a strong stimulus for improving both. In this review, we first discuss the link between inflammation and metabolism. Next, we give an update on the clinical metabolic effects of exercise in T2DM patients with special focus on which parameters to consider for optimizing metabolic improvements. We then discuss the mechanisms whereby exercise exerts its anti-inflammatory and related metabolic effects. Evidence exists that interleukin (IL)-1β is involved in pancreatic β-cell damage, whereas tumor necrosis factor (TNF)-α appears to be a key molecule in peripheral insulin resistance. Mechanistic studies in humans suggest that moderate acute elevations in IL-6, as provoked by exercise, exert direct anti-inflammatory effects by an inhibition of TNF-α and by stimulating IL-1ra (IL-1 receptor antagonist), thereby limiting IL-1β signaling. In addition, IL-6 has direct impact on glucose and lipid metabolism. Moreover, indirect anti-inflammatory effects of exercise may be mediated via improvements in, for example, body composition. While waiting for the outcome of long-term randomized clinical training studies with hard end points, it should be emphasized that physical activity represents a natural strong anti-inflammatory and metabolism-improving strategy with minor side effects.