Fibromyalgia (FM) is characterized in part by an elevated inflammatory status, and "modified exercise" is currently proposed as being a good therapeutic help for these patients. However, the mechanisms involved in the exercise-induced benefits are still poorly understood. The objective was to evaluate the effect of a single bout of moderate cycling (45 min at 55% VO2 max) on the inflammatory (serum IL-8; chemotaxis and O2 (-) production by neutrophils; and IL-1β, TNF-α, IL-6, IL-10, and IL-18 release by monocytes) and stress (cortisol; NA; and eHsp72) responses in women diagnosed with FM compared with an aged-matched control group of healthy women (HW). IL-8, NA, and eHsp72 were determined by ELISA. Cytokines released by monocytes were determined by Bio-Plex® system (LUMINEX). Cortisol was determined by electrochemoluminiscence, chemotaxis was evaluated in Boyden chambers and O2 (-) production by NBT reduction. In the FM patients, the exercise induced a decrease in the systemic concentration of IL-8, cortisol, NA, and eHsp72; as well as in the neutrophil's chemotaxis and O2 (-) production and in the inflammatory cytokine release by monocytes. This was contrary to the completely expected exercise-induced increase in all those biomarkers in HW. In conclusion, single sessions of moderate cycling can improve the inflammatory status in FM patients, reaching values close to the situation of aged-matched HW at their basal status. The neuroendocrine mechanism seems to be an exercise-induced decrease in the stress response of these patients.