This study investigates the effects of physical activity on serum cortisol levels and phagocytic capacity of the innate immune system in 8 captive bottlenose dolphins. Analysis of paired samples (n=16) revealed a significant increase in cortisol during periods of physical activity (mean increase of 1.27 µg/dL, 122% elevation), accompanied by decreased phagocytosis in granulocytes (92% reduction) and monocytes (52% reduction). Statistical analyses demonstrated consistent negative correlations between cortisol levels and phagocytic function, suggesting that physical activity influences hypothalamic-pituitary-adrenal axis activation and, consequently, innate immune system function. Sex-differentiated responses were observed, with the male showing attenuated cortisol response but maintained monocyte sensitivity. These findings highlight the complex interplay between the neuroendocrine cortisol response and immune function in cetaceans, with important implications for controlled environments management and animal welfare assessment. A multi-method statistical framework incorporating Bayesian analysis, bootstrapping, and traditional approaches ensured robust inference despite limited sample size.