Excessive and exhausting physical loads depress the immune system. Carbohydrate consumption may minimize the postexercise suppression of the innate immune system. β-Glucan is a well-known immunomodulator, with positive effects on the functioning of immunocompetent cells. The goal of this study was to determine whether β-glucan dietary supplementation from the mushroom Pleurotus ostreatus decreases the suppressed immune system responses induced by short-term high-intensity exercise in humans. In this double-blind pilot study, 20 elite athletes were randomized to β-glucan (n = 9) or placebo (n = 11) groups; these groups consumed 100 mg of β-glucan (Imunoglukan) or placebo supplements, respectively, once a day for 2 months. Venous whole blood was collected before and after 2 months of supplementation (baseline), both immediately and 1 h after (recovery period) a 20-min intensive exercise bout at the end of the supplementation period. The blood samples were used to measure the cell counts of leukocytes, erythrocyte, and lymphocytes; subpopulations of lymphocytes, granulocytes, and monocytes; and natural killer (NK) cell activity (NKCA). A 28% reduction in NKCA (p < 0.01) below the baseline value was observed in the placebo group during the recovery period, whereas no significant reduction in NKCA was found in the β-glucan group. In addition, no significant decrease in NK cell count was measured in the β-glucan group during the recovery period. Immune cell counts did not differ significantly between the groups. These results indicate that insoluble β-glucan supplementation from P. ostreatus may play a role in modulating exercise-induced changes in NKCA in intensively training athletes.