: Corticosterone is thought to be the main glucocorticoid secreted in response to stressful exercise, while melatonin buffers the adverse immunological effects of stress. The present work was aimed to evaluate whether swimming-exercise-induced stress leads to changes in the chronobiology parameters of the circadian rhythms of melatonin and corticosterone, and in the number and phagocytosis of peritoneal macrophages in 3-month-old male Wistar rats. The animals were subjected to a physical activity trial consisting of 2 h of free swimming. Radioimmunoassay was used to determine the plasma levels of melatonin and corticosterone. Phagocytosis was measured by the latex-bead phagocytosis index (PI), i.e., the number of latex beads ingested by 100 macrophages, the phagocytosis percentage (PP), i.e., the percentage of cells that had phagocytosed at least one latex bead, and the phagocytosis efficiency (PE), i.e., the ratio PI: PP which indicates how effectively the phagocytes ingested the particles. Stress significantly decreased the MESOR and amplitude of the melatonin rhythm, and significantly increased the MESOR of the corticosterone rhythm. The control animals' peritoneal macrophage number and PI showed a circadian rhythm with maxima at 02:00 and 03:00, respectively. The stressed group displayed higher values of PI than the controls at most hours of the night, but the number of cells in the peritoneal cavity was practically the same at all hours studied. These data confirm that melatonin and corticosterone act as modulators of the innate immune response, and that the circadian rhythm of the two hormones are altered in situations of stress.