Cancer patients often report impaired sleep quality. Impaired sleep quality may be due to increased levels of sleep-mediating cytokines resulting from cancer treatment. Exercise may have a positive influence on sleep-mediating cytokines, such as interleukin-6 (IL-6), tumor necrosis factor-alpha (TNF-α), and soluble tumor necrosis factor-alpha receptor (sTNF-R), which may improve sleep quality. This two-arm pilot study compared the influence of a home-based exercise intervention with standard care/control on sleep quality and mediators of sleep. Breast and prostate cancer patients (n = 38) beginning radiation therapy were randomized to a 4-week exercise program or no exercise arm. Global sleep quality, subjective sleep quality, sleep latency, sleep duration, sleep efficiency, sleep disturbances, use of sleep medication, and daytime dysfunction were assessed with the Pittsburgh Sleep Quality Index. IL-6, TNF-α, and sTNF-R were measured before and after intervention. There was a greater improvement in sleep quality in the exercise group from pre- to postintervention, although the difference was not significant. Additionally, there were associations between IL-6 and sleep efficiency and duration, suggesting that regulation of sleep-mediating cytokines by exercise may mediate improvements in sleep-quality components.