Atherosclerosis is a progressive pathological remodeling of the arteries and one of its hallmarks is the presence of chronic inflammation. Notably, there is an increased proportion and activation state of specific monocyte subsets in systemic blood circulation. Monocyte subsets have distinct contributions to the formation, progression, and destabilization of the atherosclerotic plaque. Strong clinical and epidemiological studies show that regular aerobic exercise mitigates the progression of cardiovascular disease. In fact, aerobic fitness is a powerful predictor of cardiovascular mortality in adults, independent of traditional risk factors such as hypertension and hyperlipidemia. Acute bouts and chronic exercise training modulate monocyte behavior, ranging from their recruitment from the bone marrow or marginal pool, to tissue margination and functional changes in cytokine and chemokine production. Such modulation could reflect a potential mechanism for the cardio-protective effect of exercise on atherosclerosis. This review summarizes the current knowledge of monocyte subsets and highlights what is known about their responses to exercise.