Introduction: The main characteristics presented by HIV infection are immunosuppression and a decline in the T CD4+ lymphocytes concentration. Among the possibilities for immunological improvement of individuals with HIV/AIDS are the use of antiretroviral drugs and physical exercise. Objective: To review the literature regarding the effects of exercise on concentrations of immune cell subpopulations in patients with HIV/AIDS with or without the use of antiretrovirals. Methods: Searches were performed in the PubMed and Scielo databases, CAPES and Research Gates from October 2009 to June 2010. The studies were selected for reading and analysis of titles, abstracts and full papers. Results: Five papers were included for critical analysis of content, of which three have demonstrated immunological changes associated with physical training programs in patients with HIV/AIDS. Conclusion: The prescription of exercise targeted to people with HIV/AIDS is beneficial because it enables improvements in components of physical fitness and changes in several markers of immune function in patients with HIV/AIDS, however, without causing damage and injuries in the disease progression. DESCRIPTORS: HIV antibodies. Exercise. Anti-retroviral agents. Immunology. Conditioning.