Exaggerated blood pressure (BP) response to exercise is a strong predictor of cardiovascular disease, although the mechanisms remain unknown. The purpose was to examine the association between systemic markers of vascular inflammation and exercise blood pressure (BP) responses. Participants were 191 healthy men and women (aged 45–59 years). Blood pressure was measured at baseline and during 8 min of steady state cycling ergometry exercise (at 50 W). Markers of vascular inflammation (fibrinogen, von Willebrand factor antigen, tumour necrosis factor-α, interleukin-6 [IL-6], C-reactive protein [CRP]) were measured at baseline together with other traditional risk factors including central adiposity, smoking, alcohol, and habitual physical activity. CRP (β = 0.30, p < 0.001), IL-6 (β = 0.25, p = 0.001), and fibrinogen (β = 0.14, p = 0.04) were associated with exercise systolic BP. The association with CRP remained significant after adjustment for age, sex, resting BP, and other risk factors. Other independent predictors of exercise BP included resting BP, female gender, waist–hip ratio, lower employment grade, and low physical activity level. In summary, central adiposity and vascular inflammatory processes may underlie exaggerated BP responses to acute exercise.