Exercise-induced neuroimmunomodulation is clearly accepted today. The present article reviews the main literature concerning the immunomodulatory capacity of catecholamines on the innate immune response during physical exercise, and presents our laboratory’s latest results on this topic. It is well known that the effects of exercise on the immune system are mediated by the ‘stress hormones and mediators’. Although catecholamines have usually been regarded as immunosuppressors, they may stimulate innate immune response mechanisms (such as phagocytic function) during exercise-induced stress, even without previous antigenic stimulation. The exercise-induced stimulation of the phagocytic response in particular and the innate responses in general have been considered as a prevention strategy of the athlete’s organism in order to prevent the entry and/or maintenance of antigens in a situation where the adaptive immune response seems to be depressed, and thus it has been suggested that catecholamines participate as a ‘stress mediator’ of these effects. Given this hypothesis, it is also suggested here that catecholamines may be the first ‘danger signal’ to the immune system during exercise-induced stress.