The possible interaction between intense exercise, known to suppress the immune response, and nutritive factors, such as polyunsaturated fatty acids (PUFA), was examined in inbred female C57BI/6 mice. The animals received for 8 wk either a natural ingredient diet or a diet supplemented with 10 g/100 g linseed oil containing over 50% of 18 : 3 (n‐3) α‐linoleic acid. Other groups received PUFA containing only traces of 18 : 3 (n‐3) fatty acid; beef tallow, containing mostly 18 : 1 (n‐9) saturated fat, safflower oil, an 18 : 2 (n‐6) PUFA, and fish oil, containing longer chain (n‐3) PUFA. Each dietary group was divided into two subgroups: sedentary diet controls and exercised animals. Exercise consisted of continuous swimming at high intensity until exhaustion. It was shown in three separate experiments that (1) the primary humoral response to sheep red blood cells, determined by the plaque‐forming cell (PFC) assay, was affected by PUFA diet in sedentary animals in the order beef tallow > control diet > safflower oil > fish oil > linseed oil, and (2) the PFC response was suppressed by the exhaustive exercise, as compared to sedentary controls, except for animals fed 18 : 3 (n‐3) linseed oil, where the normal response was noted. Phagocytosis of fluorescent microspheres by peritoneal macrophages, determined by flow cytometry, was significantly lower in exercised animals receiving the linseed oil diet, whereas other diets either increased or did not significantly change the macrophage phagocytic activity, compared to the sedentary diet controls. Spleen lymphocyte subsets were unchanged in exercised animals except for a marked shift from the lymphoid peak toward the erythroid peak. Generally, our data showed a marked immunomodulatory effect of 18–3 (n‐3) α‐linoleic acid on the exhaustive exercise‐related immunosuppression, as compared to the effects of other selected PUFA.