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The notion that prolonged, intense exercise causes an “open window” of immunodepression during recovery after exercise is well accepted. Repeated exercise bouts or intensified training without sufficient recovery may increase the risk of illness. However, except for salivary IgA, clear and consistent markers of this immunodepression remain elusive. Exercise increases circulating neutrophil and monocyte counts and reduces circulating lymphocyte count during recovery. This lymphopenia results from preferential egress of lymphocyte subtypes with potent effector functions [e.g., natural killer (NK) cells, γδ T cells, and CD8+ T cells]. These lymphocytes most likely translocate to peripheral sites of potential antigen encounter (e.g., lungs and gut). This redeployment of effector lymphocytes is an integral part of the physiological stress response to exercise. Current knowledge about changes in immune function during recovery from exercise is derived from assessment at the cell population level of isolated cells ex vivo or in blood. This assessment can be biased by large changes in the distribution of immune cells between blood and peripheral tissues during and after exercise. Some evidence suggests that reduced immune cell function in vitro may coincide with changes in vivo and rates of illness after exercise, but more work is required to substantiate this notion. Among the various nutritional strategies and physical therapies that athletes use to recover from exercise, carbohydrate supplementation is the most effective for minimizing immune disturbances during exercise recovery. Sleep is an important aspect of recovery, but more research is needed to determine how sleep disruption influences the immune system of athletes.