Immune function changes with ageing and is influenced by physical activity (strength training, ST) and diet (fish oil, FO). The present study investigated the effect of FO and ST on the immune system of elderly women. Forty-five women (64 (sd 1·4) years) were assigned to ST for 90 d (ST; n 15), ST plus 2 g/d FO for 90 d (ST90; n 15) or 2 g/d FO for 60 d followed by ST plus FO for 90 d (ST150; n 15). Training was performed three times per week, for 12 weeks. A number of innate (zymosan phagocytosis, lysosomal volume, superoxide anion, peroxide of hydrogen) and adaptive (cluster of differentiation 4 (CD4), CD8, TNF-α, interferon-γ (IFN-γ), IL-2, IL-6 and IL-10 produced by lymphocytes) immune parameters were assessed before supplementation (base), before (pre-) and after (post-) training. ST induced no immune changes. FO supplementation caused increased phagocytosis (48 %), lysosomal volume (100 %) and the production of superoxide anion (32 %) and H2O2 (70 %) in the ST90. Additional FO supplementation (ST150) caused no additive influence on the immune system, as ST150 and ST90 did not differ, but caused greater changes when compared to the ST (P< 0·05). FO increased CD4+ and CD8+ lymphocytes in the ST150, which remained unchanged when training was introduced. The combination of ST and FO reduced TNF-α in the ST150 from base to post-test. FO supplementation (ST150, base–pre) when combined with exercise (ST150, pre–post) increased IFN-γ, IL-2, IL-6 and IL-10 production. The immune parameters improved in response to FO supplementation; however, ST alone did not enhance the immune system.