Doing at least two-and-a-half hours a week of activity that leads to sweating or hard breathing reduces flu or flu-like illness by around 10%, says expert.
Taking part in vigorous exercise such as running, rapid cycling or rugby cuts the risk of catching flu.
More gentle pursuits such as walking or light jogging were found to have little effect.
Experts at the London School of Hygiene and Tropical Medicine examined data from its online flu study, Flusurvey.
They found overall flu levels appear to be down on last year, with the flu season apparently curbed by a lack of illness among children and young people, reports mirror.co.uk.
Over the winter flu season, 4.7% of people were believed to have flu compared to 6% the previous year.
Some 5% of children were reported to have flu, compared to almost 8% the previous year.
More than 4,800 people took part in this year's Flusurvey so far.
Alma Adler, research fellow at the London School of Hygiene and Tropical Medicine, said: "We need to treat this result cautiously as these are preliminary findings. However they are consistent with findings for other conditions and really show the health benefits of exercise."