Doing at least 2.5 hours a week of activity that leads to sweating or hard breathing reduces flu or flu-like illness, the analysis found.
More gentle pursuits, such as walking or light jogging, had little effect.
Experts at the London School of Hygiene and Tropical Medicine examined data from its online flu study, Flusurvey.
They found overall flu levels across the UK appear to be down on last year, with the flu season apparently curbed by a lack of illness among children and young people. Over the winter flu season, 4.7% of people were believed to have flu compared to 6% the previous year.
More than 4800 people have taken part in this year's Flusurvey so far.
Dr Alma Adler, research fellow at the London School of Hygiene and Tropical Medicine, said: "We're really interested in the preliminary findings around fitness activity and flu-like illness, as exercise is something that everyone can do to reduce your chance of having flu.
"We need to treat this result cautiously as these are preliminary findings, however they are consistent with findings for other conditions. Flu can occur at any time, so taking advantage of the better weather is a great opportunity to get out and get fit to ward off flu."