Postdiagnosis physical activity is associated with improved cancer outcomes, but biological mechanisms mediating anticancer effects remain unclear. Recent findings suggest that physiological adaptations to acute exercise comprise potential anticancer effects, but these remain poorly explored in clinical settings. The objective of this study was to explore the effects of a single exercise bout on tumor oxygenation and immune cell infiltration in patients with prostate cancer. Thirty patients with localized prostate cancer were randomized (2:1) to either one high-intensity interval training bout or no exercise on the day before radical prostatectomy. Immunohistochemical analyses were performed on prostatic tissue from surgery and assessed for tumor hypoxia, natural killer (NK) cell infiltration, and microvessel density (MVD). Acute systemic response in blood lymphocytes, epinephrine, norepinephrine, IL-6, tumor necrosis factor, cortisol, lactate, and glucose was also evaluated. We did not find between-group differences in tumor hypoxia (Mann–Whitney U test, U = 83.5, p = 0.604) or NK cell infiltration (U = 77.0, p = 0.328). Also, no significant correlation was found between MVD and tumor hypoxia or NK cell infiltration. One exercise bout is likely insufficient to modulate tumor hypoxia or NK cell infiltration. Future studies may elucidate if an accumulation of several exercise bouts can impact these outcomes (NCT03675529, www.clinicaltrials.gov).