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Physical activity reduces cancer-associated mortality through multiple mechanisms, including tumor immune microenvironment (TIME) reprogramming. However, whether and how physiological interventions promote anti-tumor immunity remain elusive. Here, we report that clinically relevant voluntary exercise promotes muscle-derived extracellular vesicle (EV)-associated miR-29a-3p for tumor extracellular matrix (ECM) inhibition in patients and mouse models, thereby permitting immune cell infiltration and immunotherapy. Mechanistically, an unbiased screening identifies EV-associated miR-29a-3p in response to leisure-time physical activity or voluntary exercise. MiR-29a-3p-containing EVs accumulate in tumors and downregulate collagen composition by targeting COL1A1. Gain- and loss-of-function experiments and cytometry by time of flight (CyTOF) demonstrate that myocyte-secreted miR-29a-3p promotes anti-tumor immunity. Combining immunotherapy with voluntary exercise or miR-29a-3p further enhances anti-tumor efficacy. Clinically, miR-29a-3p correlates with reduced ECM, increased T cell infiltration, and response to immunotherapy. Our work reveals the predictive value of miR-29a-3p for immunotherapy, provides mechanistic insights into exercise-induced anti-cancer immunity, and highlights the potential of voluntary exercise in sensitizing immunotherapy.