Exercise-induced muscle injury and the subsequent release of Damage-Associated Molecular Patterns (DAMP) result in soreness and inflammation. Dietary supplements may accelerate the rate of recovery by supporting resolution of inflammation. The purpose of this study was to determine if methylsulfonylmethane (MSM) supplementation (30 d prior to exercise and during recovery) altered mRNA expression in LPS-exposed blood leukocytes after a bout of downhill running. Exercise consisted of 60 min of downhill running (−15% grade). Blood (baseline, pre-exercise, 4, 24, 48, and 72 h post-exercise) was diluted (1:10) and combined with LPS (20 µg/mL) for 24 h. Total RNA was isolated from leukocytes and analyzed for 574 immune-associated mRNA (Nanostring nCounter; ROSALIND.BIO). Data were expressed as log2 fold change from baseline for each condition (MSM and placebo). Compared to placebo, MSM supplementation was associated with an improved inflammation response (15 mRNA) and viral immune response (2 mRNA). The largest number of changes were found at 4 and 24 h post-exercise. The key finding in the present study is that MSM supplementation can improve inflammation management and the innate immune response after exercise.