Individuals in a wide variety of exercise and occupational settings can be exposed to various environmental stresses, including heat and humidity, cold conditions, altitude hypoxia, weightlessness, and air pollution. Many field-based studies show that exercise, in combination with these environmental stressors, has a profound impact on a range of cellular and soluble immune measures. Researchers have also proposed several regulatory models to explain mechanisms and mediators dictating how exercise in conjunction with environmental stress affects the immune system. A range of countermeasures to preserve immune function in these settings have evolved including acclimation strategies, therapeutic and dietary interventions, and individualised exercise programmes. Evaluation of relevant research reveals strengths and weaknesses of laboratory, field and clinical research, and identifies selected practical recommendations for individuals, practitioners, and researchers. Emerging diagnostic technologies will permit next-generation evaluation of immune function in sporting, clinical, practical, and research settings.