Exercise is effective for improving the physical and psychological health of breast cancer patients. However, there is still controversy around its role on the immune system. Therefore, this systematic review and meta-analysis is aimed to evaluate the effect of chronic exercise on the number and activity of the immune cells that can contribute to anti-tumor immune responses, such as natural killers (NK) cells, CD + 4, or CD + 8. The main hypothesis of this study was that exercise could improve the immune system or, at least, there will not be a reduction in the number or activity of immune cells because of exercise. The search was conducted in the PubMed and Web of Science databases. Out of 244 studies reviewed, 10 studies met the inclusion criteria. The studies included in the meta-analyses showed mixed results and no significant (p > 0.05) positive or negative effects of exercise interventions in women with breast cancer. Therefore, the current evidence indicates that exercise does not significantly improve or reduce the immune system; thus, the prescription of exercise must not be discouraged due to the effects on the number and activity of immune system cells, but should be recommended due to the well-known benefits in quality of life, physical function or fatigue, and the absence of negative effects on the immune system. Further studies are needed to evaluate the effects according to the type of exercise, the type of cancer, or the timing of the intervention.