The aim of this study is to compare the response of interleukin-6 (IL-6) and soluble tumor necrosis factor alpha receptor 1 (s-TNFr1) to two submaximal intensities of exercise in individuals with heart failure (HF). Thirty-two HF individuals aged 45.53 ± 9.41 years, classes II and III of the New York Heart Association (NYHA) classification underwent two sessions of exercise at low and moderate intensities with blood analysis at baseline, exercise and after exercise. The differences were evaluated by Friedman test and factorial ANOVA. Alpha = 5% was considered. No difference in IL-6 was detected for low intensity. At moderate intensity, there was a significant increase after exercise. The s-TNFr1 increased in moderate-intensity exercise and went back to baseline levels after it. A session of moderate-intensity exercise is better than low-intensity exercise at promoting positive immediate inflammatory responses in individuals with HF class II and III of the NYHA.