Exercise has been shown to reduce fatigue during cancer treatment. Hypothesized mechanisms include inflammatory pathways. Therefore, we investigated effects of exercise on markers of inflammation in breast cancer patients during adjuvant chemotherapy. We pooled data from two randomized controlled exercise intervention trials with breast cancer patients during adjuvant chemotherapy (n = 130), which had previously shown beneficial effects of exercise on fatigue. Exercise comprised a 12-week resistance training (BEATE study) or an 18-week combined resistance and aerobic training (PACT study). Serum IL-6, IL-1ra, and the IL-6/IL-1ra ratio were quantified at baseline, mid-intervention, post-intervention, and 6-9 months post-baseline. Mixed effect models showed significant increases in IL-6 and IL-6/IL-1ra ratio during chemotherapy and decreases afterwards. Differences between exercise and control group were not significant at any time point. Changes in total cancer-related fatigue were significantly correlated with changes in IL-6/IL-1ra ratio (partial correlation r = 0.23) and IL-6 (r = 0.21), and changes in physical cancer-related fatigue with changes in IL-6/IL-1ra ratio (r = 0.21). Changes in fatigue were slightly correlated with changes in inflammatory markers, and there was a strong inflammatory response to adjuvant chemotherapy. The supervised exercise training did not counteract this increase in inflammation, suggesting that beneficial effects of exercise on fatigue during adjuvant chemotherapy for breast cancer are not essentially mediated by IL-6, IL-1ra, or the IL-6/IL-1ra ratio.