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Background/Objectives: Physical exercise reduces breast cancer (BC) risk and improves survival, yet the biological mechanisms remain incompletely understood. Exercise may modulate systemic immunity and local immune cell infiltration in the tumor microenvironment. In this systematic review and meta-analysis, we examined the effects of exercise on immune cells and immune-related markers in patients with BC. Methods: This study followed PRISMA guidelines and was prospectively registered in PROSPERO (CRD420251082444). Four databases (PubMed, Web of Science, Scopus, and Cochrane Library) were searched from inception through December 2025. Randomized controlled trials evaluating exercise interventions in patients with BC or BC survivors and reporting immune cell outcomes were included. Meta-analyses were performed on studies reporting natural killer cells, natural killer cell activity, T-cell subpopulations, and B cells. Results: A total of 18 studies involving 911 participants (539 in exercise intervention groups) were included in the systematic review, with eight studies included in meta-analyses. Exercise interventions did not show significant effects on circulating natural killer cell counts, natural killer cell activity, T-cell subpopulations (CD3⁺, CD4⁺, and CD8⁺), or B-cell levels when compared to control groups. Conclusions: Exercise does not appear to induce consistent changes in resting circulating immune cell populations in patients with BC or BC survivors, indicating that exercise is immunologically safe while potentially exerting effects beyond circulating cell counts. Further large-scale research is required.