Locomotion and other physical activities by free-living animals may influence immune function and disease susceptibility. This influence may be a consequence of energetic trade-offs or other mechanisms that are often, but not always, inseparably linked to an animal's life history (e.g., flight and migration). Ecological immunology has mainly focused on these life-history trade-offs, overlooking the possible effects of physical activity per se on immune function and disease susceptibility. In this review, we explore the field of exercise immunology, which examines the impact of exercise on immune function and disease susceptibility in humans, with the aim of presenting new perspectives that might be transferable to ecological immunology. First, we explore key concepts in exercise immunology that could be extended to animals. Next, we investigate the concept "exercise" in animals, and propose the use of "physical activity" instead. We briefly discuss methods used in animals to quantify physical activity in terms of energy expenditure and summarize several examples of animals engaging in physical activity. Then, we highlight potential consequences of physical activity on immune function and disease susceptibility in animals, together with an overview of animal studies that examine these links. Finally, we explore and discuss the potential for incorporating perspectives from exercise immunology into ecological immunology. Such integration could help advance our understanding of human and animal health and contribute new ideas to budding "One Health" initiatives.