The mechanisms behind the antitumor effects of exercise training (ExTr) are not fully understood. Using mouse models of established breast cancer, we examined here the causal role of CD8+ T cells in the benefit acquired from ExTr in tumor control, as well as the ability of ExTr to improve immunotherapy responses. We implanted E0771, EMT6, MMTV-PyMT, and MCa-M3C breast cancer cells orthotopically in wild-type or Cxcr3−/− female mice and initiated intensity-controlled ExTr sessions when tumors reached approximately 100 mm3. We characterized the tumor microenvironment (TME) using flow cytometry, transcriptome analysis, proteome array, ELISA, and immunohistochemistry. We used antibodies against CD8+ T cells for cell depletion. Treatment with immune checkpoint blockade (ICB) consisted of anti–PD-1 alone or in combination with anti–CTLA-4. ExTr delayed tumor growth and induced vessel normalization, demonstrated by increased pericyte coverage and perfusion and by decreased hypoxia. ExTr boosted CD8+ T-cell infiltration, with enhanced effector function. CD8+ T-cell depletion prevented the antitumor effect of ExTr. The recruitment of CD8+ T cells and the antitumor effects of ExTr were abrogated in Cxcr3−/− mice, supporting the causal role of the CXCL9/CXCL11–CXCR3 pathway. ExTr also sensitized ICB-refractory breast cancers to treatment. Our results indicate that ExTr can normalize the tumor vasculature, reprogram the immune TME, and enhance the antitumor activity mediated by CD8+ T cells via CXCR3, boosting ICB responses. Our findings and mechanistic insights provide a rationale for the clinical translation of ExTr to improve immunotherapy of breast cancer.