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Background: Inflammatory and autoimmune diseases are characterized by chronic immune dysregulation, systemic inflammation, and progressive functional impairment. Growing evidence suggests that physical activity may serve as an effective adjunctive therapeutic strategy in these conditions. Aim: The aim of this review was to summarize current evidence regarding the immunomodulatory mechanisms and clinical applications of physical activity in inflammatory and autoimmune diseases. Material and Methods: A narrative review of clinical trials, meta-analyses, and mechanistic studies published in recent years was conducted. The analysis focused on molecular pathways, immunological adaptations, and clinical outcomes associated with structured exercise interventions. Results: Appropriately prescribed moderate-intensity physical activity modulates cytokine profiles, reduces pro-inflammatory mediators, enhances regulatory T cell (Treg) activity, and improves antioxidant capacity. Skeletal muscle functions as an endocrine organ, releasing myokines—particularly interleukin-6 (IL-6)- which exert anti-inflammatory effects via classical signaling pathways. Clinical evidence demonstrates that structured exercise programs improve pain, fatigue, functional capacity, and quality of life in patients with rheumatoid arthritis, axial spondyloarthritis, multiple sclerosis, systemic lupus erythematosus, inflammatory bowel disease, type 1 diabetes, and selected rare autoimmune disorders, without increasing disease activity. Conclusions: Physical activity represents a safe and effective complementary therapy in inflammatory and autoimmune diseases. Personalized exercise prescriptions integrated with pharmacological treatment may enhance clinical remission, functional outcomes, and long-term disease management.