An association between physical inactivity and worse outcome during infectious disease has been reported. The effect of moderate exercise preconditioning on the immune response during an acute pneumonia in a murine model was evaluated. SETTING: Laboratory experiments. SUBJECTS: C57BL6/j male mice. INTERVENTIONS: Six-week-old C57BL/6J mice were divided in two groups: an exercise group and a control group. In the exercise group, a moderate, progressive, and standardized physical exercise was applied for 8 weeks. It consisted in a daily treadmill training lasting 60 minutes and with an intensity of 65% of the maximal theoretical oxygen uptake. Usual housing recommendation were applied in the control group during the same period. After 8 weeks, pneumonia was induced in both groups by intratracheal instillation of a fixed concentration of a Klebsiella pneumoniae (5 × 103 colony-forming unit) solution. MEASUREMENTS AND MAIN RESULTS: Mice preconditioned by physical exercise had a less sever onset of pneumonia as shown by a significant decrease of the Mouse Clinical Assessment Severity Score and had a significantly lower mortality compared with the control group (27% vs. 83%; p = 0.019). In the exercise group, we observed a significantly earlier but transient recruitment of inflammatory immune cells with a significant increase of neutrophils, CD4+ cells and interstitial macrophages counts compared with control group. Lung tumor necrosis factor-α, interleukin (IL)-1β, IL-6, and IL-10 were significantly decreased at 48 hours after pneumonia induction in the exercise group compared with the control group. CONCLUSIONS: In our model, preconditioning by moderate physical exercise improves outcome by reducing the severity of acute pneumonia with an increased but transient activation of the innate immune response.