This study evaluated the effects of caffeine in combination with high-intensity interval training (HIIT) on sensitivity to glucocorticoids and proliferation of lymphocytes, IL-6 and IL-10 levels and NTPDase, adenosine deaminase (ADA) and acetylcholinesterase (AChE) activity in rat lymphocytes. The animals were divided into groups: control, caffeine 4 mg/kg, caffeine 8 mg/kg, HIIT, HIIT plus caffeine 4 mg/kg and HIIT plus caffeine 8 mg/kg. The rats were trained three times a week for 6 weeks for a total workload 23% of body weight at the end of the experiment. Caffeine was administered orally 30 min before the training session. When lymphocytes were stimulated with phytohaemagglutinin no changes were observed in proliferative response between trained and sedentary animals; however, when caffeine was associated with HIIT an increase in T lymphocyte proliferation and in the sensitivity of lymphocytes to glucocorticoids occurred. ATP and ADP hydrolysis was decreased in the lymphocytes of the animals only trained and caffeine treatment prevented alterations in ATP hydrolysis. HIIT caused an increase in the ADA and AChE activity in lymphocytes and this effect was more pronounced in rats trained and supplemented with caffeine. The level of IL-6 was increased while the level of IL-10 was decreased in trained animals (HIIT) and caffeine was capable of preventing this exercise effect. Our findings suggest that caffeine ingestion attenuates, as least in part, the immune and inflammatory alterations following a prolonged HIIT protocol.