Physical exercise is a modality of non-pharmacological treatment for sleep disorders. Contradicting results are still found in studies of the effect of exercise on sleep. Among the substances that have been described as sleep modulators, cytokines produced during the recovery period after an acute exercise session are very important. Various studies have verified that physical exercise may alter the plasma concentration of the many pro-inflammatory cytokines that may in turn modulate sleep. A number of factors seem to mediate this effect of exercise, including duration, intensity, and form of exercise, in addition to temperature and metabolic alterations. The mechanisms through which exercise promotes alterations in sleep architecture remain to be clarified. Researchers speculate that many hormones and substances produced by metabolism may affect sleep. Therefore, the object of this review is to discuss the effects of exercise and cytokines on sleep, and the relation between these two sleep-regulating components, raising the hypothesis that the alterations in sleep promoted by exercise are mediated by cytokines, which, by increasing the nREM sleep phase, would stimulate the regenerating characteristics of sleep.