This review presents state-of-the-art knowledge and identifies knowledge gaps for future research in the area of exercise-associated modifications of infection susceptibility. Regular moderate-intensity exercise is believed to have beneficial effects on immune health through lowering inflammation intensity and reducing susceptibility to respiratory infections. Infection-promoting consequences are attributed to strenuous exercise as performed by professional athletes. In about half of the athletes presenting respiratory symptoms, no causative pathogen can be identified. Acute bouts of exercise enhance release of proinflammatory mediators thus probably leading to appearance of infection-like respiratory symptoms. Studies assessing influence of regularly repeated exercise on immune response and systemic inflammation are far less numerous than those regarding acute exercise effects. This identifies another knowledge gap requiring further assessment both in recreational and in professional athletes Additionally, ambient and environmental conditions modify systemic inflammatory response and infection susceptibility in particular in outdoor athletes. Both acute and chronic regular exercise influence humoral and cellular immune response mechanisms resulting in decreased specific and non-specific response in competitive athletes. Most promising areas of further research in exercise immunology include: detailed immunological characterization of infection-prone and infection-resistant athletes; efficacy of nutritional and pharmaceutical interventions as countermeasures to infections’ symptoms; and influence of various exercise loads on susceptibility to infections with respiratory viruses, including SARS-CoV-2. Establishing uniform definition of “elite athlete’ shall hopefully allow for comparable and straightforward interpretation of data coming from different studies and settings.