2. Try to get regular, moderate exercise, like a daily 30-minute walk. It can help your immune system fight infection. If you don't exercise regularly, you're more likely to get colds, for example, than someone who does.Exercise can also boost your body's feel-good chemicals and help you sleep better. Both of those are good for your immune system.. Try to get regular, moderate exercise, like a daily 30-minute walk. It can help your immune system fight infection. If you don't exercise regularly, you're more likely to get colds, for example, than someone who does.