Background: Patients with cardiorespiratory problems often suffer from systemic inflammation. Stress due to the disease and continuous inflammation can undermine the success of the rehabilitation program. Objective: This review has been undertaken primarily to understand the effectiveness of exercise training on the immune system in individuals undergoing cardiorespiratory rehabilitation and its implications for further management during the COVID-19 pandemic. Methods: Assessors analyzed related studies identified in the MEDLINE, PROQUEST, PUBMED, Cochrane Library, CINAHL, EMBASE, Google Scholar, Physiotherapy Evidence, and Science Direct databases. The studies were divided into groups focused on the effect of exercise on blood leukocytes, the anti-inflammatory effect, and the role of nutrition and exercise in resolving inflammation. Results: Twenty-eight studies were included in this review. The number of studies included in each section was as follows: the effects of exercise training on leukocytes in cardiorespiratory conditions (n = 8), antiinflammatory effect (n = 6), and the role of nutrition and exercise in resolving inflammation (n = 14). The bias risk assessment showed poor internal validity; most included studies were assigned no and unclear descriptors. Conclusions: Substantive evidence is presented that emphasizes the role of moderate-intensity exercise in boosting the immune system in patients with cardiorespiratory diseases. Exercise has anti-inflammatory effects that are vital for overall well-being and resolving longstanding inflammation. Individuals with an active lifestyle had a better pathogen immune response than more sedentary individuals. Our findings highlight the current need to investigate the long-term effects of cardiorespiratory rehabilitation programs.