The aim of this study was to evaluate the effects of moderate aerobic exercise training on sleep, depression, cortisol, and markers of immune function in patients with chronic primary insomnia. Twenty-one sedentary participants (16 women aged 44.7 ± 9 years) with chronic primary insomnia completed a 4-month intervention of moderate aerobic exercise. Compared with baseline, polysomnographic data showed improvements following exercise training. Also observed were reductions in depression symptoms and plasma cortisol. Immunologic assays revealed a significant increase in plasma apolipoprotein A (140.9 ± 22 to 151.2 ± 22 mg/dL) and decreases in CD4 (915.6 ± 361 to 789.6 ± 310 mm[superscript 3]) and CD8 (532.4 ± 259 to 435.7 ± 204 mm[superscript 3]). Decreases in cortisol were significantly correlated with increases in total sleep time (r = -0.51) and REM sleep (r = -0.52). In summary, long-term moderate aerobic exercise training improved sleep, reduced depression and cortisol, and promoted significant changes in immunologic variables.