The innate immune system serves as the body’s first line of defense against pathogens and plays a central role in inflammation regulation, immune homeostasis, and tumor immunosurveillance. In recent years, with the growing recognition of the concept “exercise is medicine”, increasing attention has been paid to the immunoregulatory effects of physical activity. Accumulating evidence suggests that regular, moderate-intensity exercise significantly enhances innate immunity by strengthening the skin-mucosal barrier, increasing levels of secretory immunoglobulin A (sIgA), and improving the functional capacity of key immune cells such as natural killer (NK) cells, neutrophils, macrophages, and dendritic cells. It also modulates the complement system and various inflammatory mediators. This review comprehensively summarizes the effects of exercise on each component of the innate immune system and highlights the underlying molecular mechanisms, including activation of AMP-activated protein kinase (AMPK), inhibition of nuclear factor-kappa B (NF-κB), enhancement of mitochondrial function via the PGC-1α/TFAM axis, and initiation of autophagy through the ULK1/mTOR pathway. Emerging mechanisms are also discussed, such as exercise-induced epigenetic modifications (e.g., histone acetylation and miRNA regulation), modulation of the gut microbiota, and metabolite-mediated immune programming (e.g., short-chain fatty acids (SCFAs), β-hydroxybutyrate). The effects of exercise on innate immunity vary considerably among individuals, depending on factors such as age, sex, and comorbidities. For example, adolescents exhibit enhanced NK cell mobilization, whereas older adults benefit from reduced chronic inflammation and immune aging. Sex hormones and metabolic conditions (e.g., obesity, diabetes, chronic obstructive pulmonary disease, cancer) further modulate the immune response to exercise. Based on these insights, we propose a personalized approach to exercise prescription guided by the FITT (frequency, intensity, time, and type) principle, aiming to optimize immune outcomes across diverse populations. Importantly, given the dual role of exercise in immune activation and regulation, caution is warranted: while moderate exercise enhances immune defense, excessive or high-intensity activity may induce transient immunosuppression. In pathological contexts such as infection, autoimmune diseases, or tissue injury, exercise intensity and timing must be carefully adjusted. This review provides practical guidelines for exercise-based immune modulation and underscores the need for dose-response studies and advancements in precision exercise medicine. In conclusion, exercise represents a safe and effective strategy for enhancing innate immune function and mitigating chronic inflammatory diseases.