Elevated levels of pro-inflammatory markers are evident in patients with heart failure and are associated with disease severity and prognosis. Exercise training has been shown to reduce circulating levels of pro-inflammatory cytokines and other proinflammatory markers in healthy and clinical populations. The aim of the systematic review and meta-analysis was to investigate the effect of aerobic (AT) and resistance training (RT) interventions on circulating concentrations of inflammatory markers; tumour necrosis factor-alpha (TNF-α), interleukin 6 (IL-6), C-reactive protein (CRP), fibrinogen, soluble intercellular adhesion molecule (sICAM) and soluble vascular adhesion molecule (sVCAM) in heart failure patients. We conducted database searches (PubMed, EMBASE and Cochrane Trials Register to 30 June 2017) for exercise-based trials in heart failure, using the following search terms: exercise training, inflammation, tumour necrosis factor-alpha, interleukin 6, C-reactive protein, fibrinogen, soluble intercellular adhesions molecule-1, soluble vascular adhesion molecule-1. Twenty studies, representing 18 independent trials, were included in the review. Pooled data of six studies indicated a minimally favourable effect of exercise training on circulating TNF-α [SMD 0.42 (95% CI 0.15, 0.68), p = 0.002)]. However, together the pooled and descriptive analyses failed to provide strong evidence for a reduction in other pro-inflammatory markers. However, given the complexity of heart failure and the pathways involved in the immune and inflammatory process, large prospective trials considering aetiology, comorbidities and local skeletal muscle inflammation are required to elucidate on the anti-inflammatory effect of exercise in this population.