Exercise-induced metabolic remodeling is a fundamental adaptive process whereby the body reorganizes systemic and cellular metabolism to meet the dynamic energy demands posed by physical activity. Emerging evidence reveals that such remodeling not only enhances energy homeostasis but also profoundly influences immune function through complex molecular interactions involving glucose, lipid, and protein metabolism. This review presents an in-depth synthesis of recent advances elucidating how exercise modulates immune regulation via metabolic reprogramming, highlighting key molecular mechanisms, immune-metabolic signaling axes, and the authors’ academic perspective on the integrated “exercise–metabolism–immunity” network. In the domain of glucose metabolism, regular exercise improves insulin sensitivity and reduces hyperglycemia, thereby attenuating glucose toxicity-induced immune dysfunction. It suppresses the formation of advanced glycation end-products (AGEs) and interrupts the AGEs–RAGE–inflammation positive feedback loop in innate and adaptive immune cells. Importantly, exercise-induced lactate, traditionally viewed as a metabolic byproduct, is now recognized as an active immunomodulatory molecule. At high concentrations, lactate can suppress immune function through pH-mediated effects and GPR81 receptor activation. At physiological levels, it supports regulatory T cell survival, promotes macrophage M2 polarization, and modulates gene expression via histone lactylation. Additionally, key metabolic regulators such as AMPK and mTOR coordinate immune cell energy balance and phenotype; exercise activates the AMPK–mTOR axis to favor anti-inflammatory immune cell profiles. Simultaneously, hypoxia-inducible factor 1α (HIF-1α) is transiently activated during exercise, driving glycolytic reprogramming in T cells and macrophages, and shaping the immune landscape. In lipid metabolism, exercise alleviates adipose tissue inflammation by reducing fat mass and reshaping the immune microenvironment. It promotes the polarization of adipose tissue macrophages from a pro-inflammatory M1 phenotype to an anti-inflammatory M2 phenotype. Moreover, exercise alters the secretion profile of adipokines—raising adiponectin levels while reducing leptin and resistin—thereby influencing systemic immune balance. At the circulatory level, exercise improves lipid profiles by lowering pro-inflammatory free fatty acids (particularly saturated fatty acids) and triglycerides, while enhancing high-density lipoprotein (HDL) function, which has immunoregulatory properties such as endotoxin neutralization and macrophage cholesterol efflux. Regarding protein metabolism, exercise triggers the expression of heat shock proteins (HSPs) that act as intracellular chaperones and extracellular immune signals. Exercise also promotes the secretion of myokines (e.g., IL-6, IL-15, irisin, FGF21) from skeletal muscle, which modulate immune responses, facilitate T cell and macrophage function, and support immunological memory. Furthermore, exercise reshapes amino acid metabolism, particularly of glutamine, arginine, and branched-chain amino acids (BCAAs), thereby influencing immune cell proliferation, biosynthesis, and signaling. Leucine-mTORC1 signaling plays a key role in T cell fate, while arginine metabolism governs macrophage polarization and T cell activation. In summary, this review underscores the complex, bidirectional relationship between exercise and immune function, orchestrated through metabolic remodeling. Future research should focus on causative links among specific metabolites, signaling pathways, and immune phenotypes, as well as explore the epigenetic consequences of exercise-induced metabolic shifts. This integrated perspective advances understanding of exercise as a non-pharmacological intervention for immune regulation and offers theoretical foundations for individualized exercise prescriptions in health and disease contexts.