Increased physical activity reduces cancer risk in humans, but why this whole-organism attribute reduces cancer remains unclear. Active individuals tend to have high capacity to generate energy on a sustained basis, which in turn can permit greater immune responses crucial for fighting emerging neoplasia. Thus, we suggest energetic capacity as a potential mechanism to explain the activity–cancer link, given that humans are intrinsically (not externally) energy limited. Human and rodent studies show that individuals with high energetic capacity mount greater immune responses and have lower cancer incidence; these trends persist after controlling for actual physical activity, supporting a direct role of energetic capacity. If true, exercise efforts might best target those that increase one's energetic capacity, which may be both individual and exercise specific.