Exercise can regulate the immune function, activate the activity of immune cells, and promote the health of the organism, but the mechanism is not clear. Skeletal muscle is a secretory organ that secretes bioactive substances known as myokines. Exercise promotes skeletal muscle contraction and the expression of myokines including irisin, IL-6, BDNF, etc. Here, we review nine myokines that are regulated by exercise. These myokines have been shown to be associated with immune responses and to regulate the proliferation, differentiation, and maturation of immune cells and enhance their function, thereby serving to improve the health of the organism. The aim of this article is to review the effects of myokines on intrinsic and adaptive immunity and the important role that exercise plays in them. It provides a theoretical basis for exercise to promote health and provides a potential mechanism for the correlation between muscle factor expression and immunity, as well as the involvement of exercise in body immunity. It also provides the possibility to find a suitable exercise training program for immune system diseases.