Exercise places a spectrum of demands on the body, dependent on the form, intensity, and duration, which are super-imposed on a background of physiological and psychological factors peculiar to the host. Thus the net effect of these factors is both heterogeneous and complex. Studying the effects of exercise is dependent on an understanding of an elaborate network of interactions between the central nervous, endocrine, and immune systems that is yet to be understood. While investigators agree that immune suppression results from exhaustive exercise, opinions vary about its mechanism. Some of this is due to inter- and even intra-subject variation (perceptions, previous experience, gender, age, biological rhythms, other temporally related events, attributions, etc.), yet other is a result of differences in study design, parameters measured, methods and materials used, and a host of other variables. To achieve accord and to define the mechanisms leading to changes in health status, beneficial or harmful, that result from physical activity, we must strive to understand the complex network that exists in the psychoneuroendocrine immune system, design rigorous research models, standardize our methods, and offer sound hypotheses for future study. Lastly, investigations into exercise-induced immune alterations need to be conducted by multidisciplinary teams of individuals expert in each of the fields encompassed by this complex field of study. After offering some examples of the complex interactions between components of the psychoneuroendocrine immune axis, we discuss study design, caveats of laboratory methods, data reduction and interpretation, and a means of perhaps achieving our common goals in studying exercise immunology.