The purpose of this study was to evaluate the effects of aerobic exercise in the heat on circulating concentrations of tumor necrosis factor (TNF)-α, soluble TNF receptors (STNFR1&2), and surface expression of TNFR1&2 on monocyte subpopulations. Twelve recreationally active Caucasian men (24.4 ± 3.4 yrs.; 180.0 ± 6.8 cm; 81.5 ± 8.0 kg; 47.2 ± 4.8 mL·kg−1·min−1) completed an exercise protocol in three environmental conditions: high temperature/low humidity [HTLH; 35 °C, 20% relative humidity (RH)]; high temperature/moderate humidity (HTMH; 35 °C, 45%RH); and moderate temperature/moderate humidity (MTMH; 22 °C, 45%RH). Each protocol consisted of a 60-minute cycling trial at 60% VO2max, a 15-minute rest, and a time-to-exhaustion trial at 90% VO2max (TTE). Blood was sampled before (PRE), immediately after (POST) the 60-minute trial, immediately post-TTE (PTTE), and one-hour post-TTE (REC). Circulating TNF-α and STNFR1&2 were assayed. TNFR1&2 expression on monocyte subsets was measured by flow cytometry on a subset of participants (n = 8). TNF-α area under the curve with respect to increase (AUCi) was greater during HTMH compared to MTMH and HTLH. STNFR1 concentration was greater during HTMH compared to MTMH. With all trials combined, STNFR1 concentration increased from PRE to POST, PTTE, and REC. TNFR1 expression on non-classical monocytes was greater during HTMH compared to HTLH while TNFR2 expression was lower during HTLH compared to both MTMH and HTMH. Data suggest that exercise in the heat increases circulating TNF-α and STNFR1 concentration concomitantly. Furthermore, non-classical monocyte expression of TNFRs are impacted by temperature and humidity during exercise.