The risk for breast cancer is significantly reduced in persons who engage in greater amounts of physical activity, and greater physical activity before or after diagnosis associates with reduced disease-specific mortality. Previous mechanistic studies indicate that components of innate immunity can mediate an inhibitory effect of physical activity on several types of tumor. However, in breast cancer specifically, the myeloid compartment of innate immunity is thought to exhibit high propensity for an immunosuppressive role that obstructs anti-tumor immunity. Thus, we tested the notion that greater physical activity alters mononuclear phagocytes in mammary tissue when inhibiting nascent tumor in a murine model of breast cancer. To model greater physical activity, we placed an angled running wheel in each mouse's home cage for two weeks before tumor engraftment with EO771 mammary cancer cells that express luciferase for bioluminescent detection. Fully immunocompetent mice and mice with compromised adaptive immunity showed significantly less mammary tumor signal when given access to running wheels, although the effect size was smaller in this latter group. To investigate the role of the myeloid compartment, mononuclear phagocytes were ablated by systemic injection of clodronate liposomes at 24 h before tumor engraftment and again at the time of tumor engraftment, and this treatment reversed the inhibition in wheel running mice. However, clodronate also inhibited mammary tumor signal in sedentary mice, in conjunction with an expected decrease in gene and protein expression of the myeloid antigen, F4/80 (Adgre1), in mammary tissue. Whole transcriptome digital cytometry with CIBERSORTx was used to analyze myeloid cell populations in mammary tissue following voluntary wheel running and clodronate treatment, and this approach found significant changes in macrophage and monocyte populations. In exploratory analyses, whole transcriptome composite scores for monocytic myeloid-derived suppressor cell (M-MDSC), macrophage lactate timer, and inflammation resolution gene expression programs were significantly altered. Altogether, the results support the hypothesis that physical activity inhibits nascent mammary tumor growth by enhancing the anti-tumor potential of mononuclear phagocytes in mammary tissue.