A new review article argues that all exercise improves immunity. During exercise, some immune cell numbers in the bloodstream increase dramatically but decrease immediately after exercise and then return to normal several hours later. https://www.ncbi.nlm.nih.gov/pubmed/32139352 

The reason for this temporary decline in immune cell numbers in the bloodstream is because immune cells travel to other tissues like the lungs because they go there to look for infections. https://www.frontiersin.org/articles/10.3389/fimmu.2018.00648/full