OBJECTIVE: To analyze the effects of exhausting long-duration physical exercise (swimming) sessions of different durations and intensities on the number and phagocytic capacity of macrophages and neutrophils in sedentary rats. INTRODUCTION: Exercise intensity, duration and frequency are important factors in determining immune response to physical effort. Thus, the effects of exhausting long-duration exercise are unclear. METHODS: Wistar rats were divided into two groups: an untreated group (macrophage study) and oyster glycogen-treated rats (neutrophil study). In each group, the animals were subdivided into five groups (10 rats per group): unexercised controls, an unadapted low-intensity exercise group, an unadapted moderate-intensity exercise group, a preadapted low-intensity exercise group and a preadapted moderate-intensity exercise group. All exercises were performed to exhaustion, and preadaptation consisted of 5, 15, 30 and 45 min sessions. RESULTS: Macrophage study: the number of peritoneal macrophages significantly decreased (9.22 ± 1.78 x 10(6)) after unadapted exercise but increased (21.50 ± 0.63 x 10(6)) after preadapted low-intensity exercise, with no changes in the moderate-intensity exercise group. Phagocytic capacity, however, increased by more than 80% in all exercise groups (low/moderate, unadapted/preadapted). Neutrophil study: the number of peritoneal neutrophils significantly decreased after unadapted (29.20 ± 3.34 x 10(6)) and preadapted (50.00 ± 3.53 x 10(6)) low-intensity exercise but increased after unadapted (127.60 ± 5.14 x 10(6)) and preadapted (221.80 ± 14.85 x 10(6)) moderate exercise. Neutrophil phagocytic capacity decreased by 63% after unadapted moderate exercise but increased by 90% after corresponding preadapted sessions, with no changes in the low-intensity exercise groups. CONCLUSION: Neutrophils and macrophages of sedentary rats respond differently to exercise-induced stress. Adaptation sessions reduce exercise-induced stress on the immune system.