It is well known that exhaustive exercise increases serum and skeletal muscle IL-6 concentrations. However, the effect of exhaustive exercise on the concentrations of other cytokines in the muscle and in the adipose tissue is controversial. The purpose of this study was to evaluate the effect of exhaustive exercise on mRNA and protein expression of IL-10, TNF-α and IL-6 in different types of skeletal muscle (EDL, soleus) and in two different depots of white adipose tissue (mesenteric–MEAT and retroperitoneal–RPAT). Rats were killed by decapitation immediately (E0 group, n = 6), 2 (E2 group, n = 6) and 6 (E6 group, n = 6) hours after the exhaustion protocol, which consisted of running on a treadmill (approximately 70% VO_2max for 50 min and then subsequently at an elevated rate that increased at 1 m/min every minute, until exhaustion). The control group (C group, n = 6) was not subjected to exercise. Cytokine protein expression increased in EDL, soleus, MEAT and RPAT from all exercised groups, as detected by ELISA. EDL IL-10 and TNF-α expression was higher than that of the soleus. The IL-10/TNF-α ratio was increased in the skeletal muscle, especially in EDL, but it was found to be decreased in the adipose tissue. These results show that exhaustive exercise presents a different effect depending on the tissue which is analysed: in the muscle, it induces an anti-inflammatory effect, especially in type 2 fibres, while the pro-inflammatory effect prevails in adipose tissue, possibly contributing to increased lipolysis to provide energy for the exercising muscle.